Survey of one-dimensional liquidity measures

Minović, Jelena and Stevanović, Slavica and Belopavlović, Grozdana (2011) Survey of one-dimensional liquidity measures. In: Proceedings / I International Symposium Engineering Management and Competitiveness (EMC2011). Technical faculty "Mihajlo Pupin", Zrenjanin, pp. 197-202. ISBN 978-86-7672-135-1

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In order integrate Serbian market into EU financial market, structural change is required. Since Serbian market belong to frontier markets, it should be transformed to emerging markets in order to develop market. One of the major requirements for this to happen is to improve market liquidity and its measuring. Liquidity is not easily defined and measured. Liquidity itself is not observable and therefore, has to be proxies by different liquidity measures. This paper presents an overview of different types of one-dimensional liquidity measures. Definition of liquidity would be a market characterized by the ability to buy and sell securities with relative ease. The one-dimensional liquidity measures covered in this paper are: probability of informed trading, market capitalization, turnover, and different spread-related liquidity measures (bid-ask spread, relative spread, effective spread, Roll’s measure, realized spread, quoted spread). The advantages and disadvantages of these measures are given.

Item Type: Book Section
Additional Information: COBISS.ID=512158562
Uncontrolled Keywords: liquidity, liquidity measures, one-dimensional measures
Research Department: Other
Depositing User: Jelena Banovic
Date Deposited: 22 Sep 2016 18:26
Last Modified: 18 May 2020 11:44

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