How Liquid are Markets?

Gaëlle Le Fol (1) , Julien Idier (2) , Caroline Jardet (2)

1 DRM - Dauphine Recherches en Management
2 Centre de recherche de la Banque de France

This paper summarizes the main aspects of market liquidity which is an elusive and multidimensional concept. We consider several liquidity indicators through four categories: immediacy, depth, tightness and resiliency. These classes are then illustrated for four major financial institutions hit by the ongoing financial crisis: AIG, Lehman, BNP and Dexia. We particularly insist on the non substitutability of liquidity indicators since each of them does not account for the same market characteristics.

Mots clés: Liquidity; Financial crisis.; Financial crisis

Domaines: Economies et finances

Gaëlle Le Fol, Julien Idier, Caroline Jardet. How Liquid are Markets?: AN APPLICATION TO STOCK MARKETS. Bankers Markets & Investors : an academic & professional review, 2009, 103, pp.50-58. ⟨halshs-00638443⟩