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How Liquid are Markets?: AN APPLICATION TO STOCK MARKETS

Abstract : 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.
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https://halshs.archives-ouvertes.fr/halshs-00638443
Contributor : Gaëlle Le Fol <>
Submitted on : Friday, November 4, 2011 - 5:43:43 PM
Last modification on : Wednesday, September 23, 2020 - 4:28:24 AM

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

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