Measuring Liquidity in Financial Markets

Measuring Liquidity in Financial Markets
Author: Abdourahmane Sarr
Publisher: International Monetary Fund
Total Pages: 72
Release: 2002-12
Genre: Business & Economics
ISBN:

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This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.


Measuring Liquidity in Financial Markets
Language: en
Pages: 72
Authors: Abdourahmane Sarr
Categories: Business & Economics
Type: BOOK - Published: 2002-12 - Publisher: International Monetary Fund

GET EBOOK

This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-a
Measuring Liquidity in Financial Markets
Language: en
Pages: 72
Authors: Abdourahmane Sarr
Categories: Business & Economics
Type: BOOK - Published: 2002-12 - Publisher: International Monetary Fund

GET EBOOK

This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-a
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Type: BOOK - Published: 2013-09-03 - Publisher: John Wiley & Sons

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A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative
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Type: BOOK - Published: 2011-07-20 - Publisher: Xlibris Corporation

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Villains for the Great Meltdown of 2007-2008 seem plentiful. But the very concept of finding and punishing villains misses the target. Ideally, we learn from pa
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