如何衡量流动性

530BoltonErnst-Ludwig1998Maug1998AmihudMendelsonAmihudandMendelson,1988,p.369Levine,1991Bencivenga,etal.,1996O'hara1995thepriceofimmediacyAmihudMendelson1989MassimbPhelps1994,p.41Glen1994Schwartz1988LippmanMcCall198612AmihudMendelson1986BrennanSubrahmanyam1996Hu1998DatarNaikRadcliffe1998AmihudMendelson1986Black19711.immediacy2.width3.depthGlen19944.resiliency100504011LpqtrLf(p,q,t,r)0rL0,tL0,qL0,pL∂∂∂∂∂∂∂∂Harris1990Garbade1985Kyle1985tightnessSchwartz199112breadth3Harris1990Kyle19851.2.Harris1994AdmatiPfleiderer1988Degryse1999Degryse1999U3.4.5.6.Schwartz,1991,P.127221.2.3.4.5.6./7.Roll8.9.10.11.12.13.14.15.16.Kyle17.Glostern-Harris18.Hasbrouck19.Hasbrouck-Foster-Viswanatha20.Amivest21.Martin22.Hui-Heubel23.Marsh-Rock24.25.26.27.28.29.30.Garbade-Silber1.bid-askspreadFlood1991O'HaraOldfield1986SRSPAPBM+2PBPAMSPAPBRSPAPBMadverseselectioncostorderprocessingcostinventoryholdingcostCopeland&Galai,1983Brennan&Subrahmanvam,1996Tonic,1972Roll1989431047GeorgeKaulNimalendran19918%1312345bid/askbounce2.effectivespreadEFPEFPMsignedeffectivespreadBEFSEFBEFPMSEFMPREFREFPMM3.realizedspreadARSRRSMtARSPMtRRSPMtMBRRSSRRSBRRSPMtMSRRSMtPM4.positioningspreadNaikYadav1999GlostenHarris(1988)BIS,1999PetersenFialkowski19941022%Stoll1989HuangStoll1996Kavajecz1999NaikYadav1999insidehalf-spreadsignedeffectivehalf-spreadrealizedhalf-spreadpositioningBRPSSRPSBRPSMMtMSRPSMtMMinsidehalf-spread2averagespread111.pricedisimprovementhalf-spread2.2010101.Roll1984Roll1984)P,PCOV(-21S1-ttt∆∆=SttPttPt-1tStoll1989Roll1984Stoll1989Hasbrouck1993Se2σsSeσsssPtwtstwtstσπ22.varianceratiomarketefficiencycoefficient,MEC11HasbrouckSchwartz19861988Bernstein1987Schwartz1991Hasbrouck1991MEC(1)2(1)11(3)21MECRrhddh0522056.,*.*var()()=(1)MECRrhddh11116,**var()()=(2)MECRTrtt=var()[var()]**MECvar()*Rt)var(*trTMEC1MEC1MEC1MEC1HasbrouckSchwartz19881MEC0,MEC)-)(1Var(r21C*t=1MEC0,1)-)(MECVar(r21-C*t=MEC1C10,0,0,0,23453.HandaSchwartz1996a,1996b(3)MECRrdddd12212,**var()var()=1.marketdepth222.3.4.fillrate5.turnoverrateDegryse1999AdmatiPfleiderer1988Degryse1999UDegrysepriceimpactmodel1.Kyle1985Kyle1985530Kyleλλµ1Dy,P=+=PyDEngleLange1997Kyle1985VNETEngleLange1997LeeReady1991uptickBreenHodrickKorajczyk2000530netturnoverQuotemethodTickmethodReadyLee1991Odders-White20002.Glostern-HarrisGlosternHarris1988t1-tt1ty)D-(DqP++=∆ψλPttt-1tqtDytq3.HasbrouckimpulseresponsefunctionHasbrouck1991a,1991b1988VARt1,51i0i-ti51ii-titvXbrar++=∑∑==1t2,51i0i-ti51ii-ti0tvXdrcX++=∑∑==2ttrt12v0i-tX0i-tXi-tX0i-tX2i-tXi-i-tX2i-t0i-tX0i-tXi-tX0tXX1,tv2,tabcdb0bii0bi4.Hasbrouck-Foster-ViswanathanBrennanSubrahmanyam1996HasbrouckFoster-Viswanathan1993t51jj-tj51jj-tjqtqPqτλβα++∆+=∑∑==1tt1-ttptv)D-(DP+++=∆λτψα212qttP∆tjtjDj-tPttτliquidityratios(q)P(n)PqnHasbrouck1991a,1991bMadhavanSmidt19931.AmivestAmivestconventionalliquidityratioAmivestAmivest1∑∑==∆=ntititntitconPVPL11%Lcon=Pit=tiVit=ti∑=∆ntitP1%IAmivestAmivestDubofskyGroth1984CopperGrothAvera198520AmivestAmivestAmivest2.MartinMartinMartinIndexMartin1975——MartinMartinMartin∑=−−=ntittiittVPPM11.)(Mt=MartinPit=tiVit=tiAmivestMartinMartinMartinMartinMartinMartin3.Hui-HeubelHui-HeubelLiquidityRatioHuiHeubel1984AmivestHui-HeubelHui-Heubel()[]()[]PSVPPPLHH⋅−=minminmaxLHH=Hui-HeubelPmax=5Pmin=5V=5S=P=5Hui-HeubelAmivest5201Hui-Heubel2Hui-HeubelHui-Heubel4.Marsh-RockMarsh-RockLiquidityRatioMarshRock1986MarshRock∑==sT1iisP%T1L∆Ts=sP%is∆=siMarsh-RockMarsh-Rock0.1A10000B5000ABMarsh-Rock5.market-adjustedliquidityHuiHeubel1984HuiHeubel1984imiRRµβα++=Ri=iRm=500=i=HuiHeubelµγγiiVe201=++ii2=Vi=γγ0,1=ei=γ1γ1γ1γ16.ChordiaRollSubrahmanyam2000CompositLiq1.2.3.4.AdjustedpriceimprovementrateBacidoreBattalioJennings20002040020004002000201600200020.062520.0520100020.0625100020.03125600GarbadeSilber197922p21Ψτωτσ+=VVp2reservationprice222Amivest1.2.3.4..2.5.2/RollKyleGlostern-HarrisHasbrouckHasbrouck-Foster-ViswanathaAmivestMartinHui-HeubelMarsh-RockGarbade-Silber.3/RollKyleGlostern-HarrisHasbrouckHasbrouck-Foster-ViswanathaAmivestMartinHui-HeubelMarsh-RockGarbade-Silber.4(/)RollKyleGlostern-HarrisHasbrouckHasbrouck-Foster-ViswanathaAmivestMartinHui-HeubelMarsh-RockGarbade-Silber.5/RollKyleGlostern-HarrisHasbrouckHasbrouck-Foster-ViswanathaAmivestMartinHui-HeubelMarsh-RockGarbade-SilberAdmati,AnatandPaulPfleiderer,1988,Atheoryofintradaypatterns:Volumeandpricevariability,ReviewofFinancialStudies1,3-40.Amihud,Y.,&Mendelson,H.,1989,Theeffectofcomputerbasetradingonvolatilityandliquidity.In:H.C.Lucas&R.A.Schwartz(Eds.),Thechallengeofinformationtechnologyforthesecuritiesmarkets,liquidity,volatility,andglobaltrading(pp.59-85).Homewood,IL:DowJones&Company,Inc.Amihud,Y.,Mendelson,H.,1989,Theeffectsofbeta,bid-askspread,residualriskandsizeonstockreturns.JournalofFinance44,479-486.Amihud,YakovandHaimMendelson,1986,Assetpricingandthebid-askspread,JournalofFinancialEconomics17,223-250.Bacidore,JeffreyM.,RobertH.Battalio,andRobertH.Jennings,2000,DepthImprovementandAdjustedPriceImprovementontheNewYorkStockExchange,NYSEWorkingPaper#2000-04Breen,WilliamJ.,LaurieSimonHodrick,&RobertA.Ko