Measuring the Liquidity Part of Volume

Article English OPEN
Darolles, Serge; Le Fol, Gaëlle; Mero, Gulten;
(2015)
  • Publisher: Elsevier
  • Related identifiers: doi: 10.1016/j.jbankfin.2014.09.007
  • Subject: Volatility-volume relationship | JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C52 - Model Evaluation, Validation, and Selection | Liquidity arbitrage | JEL : C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C51 - Model Construction and Estimation | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates | [SHS.GESTION]Humanities and Social Sciences/Business administration | JEL : C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C52 - Model Evaluation, Validation, and Selection | Mixture of distribution hypothesis | GMM tests | JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates | JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C51 - Model Construction and Estimation | [ SHS.GESTION ] Humanities and Social Sciences/Business administration | Information-based trading | Liquidity shocks

Based on the concept that the presence of liquidity frictions can increase the daily traded volume, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines of Tauchen and Pitts (1983) to measure the liquidity portion of volum... View more
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