Measuring commodity market quality

被引：4
|
作者：
Lauter, Tobias [1 ,2 ]
Prokopczuk, Marcel [1 ]
机构：
[1] Leibniz Univ Hannover, Koenigsworther Pl 1, D-30167 Hannover, Germany
[2] Macquarie Univ, 4 Eastern Rd, Sydney, NSW 2109, Australia
来源：
JOURNAL OF BANKING & FINANCE | 2022年 / 145卷
关键词：
Commodity markets; Market quality; Liquidity; Market efficiency; High -frequency data; BID-ASK SPREADS; TIME-SERIES; LIQUIDITY; RETURNS; MICROSTRUCTURE; COMBINATION; RISK; COMMONALITY; ILLIQUIDITY; EFFICIENCY;
D O I：
10.1016/j.jbankfin.2022.106658
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we identify the most suitable low-frequency proxies for analyzing commodity market qual-ity. We use an 11-year sample of millisecond time-stamped order book data and examine the correlation of high-frequency liquidity and price efficiency measures with their low-frequency proxies measured with daily or 5-min Time-and-Sales (TAS) data. We find that for liquidity, the volatility-over-volume measures are the best proxies for bid-ask spread and price impact. The correlation of price efficiency measures with their daily-frequency counterparts is low. Moderately correlated proxies can be achieved by using 5-min data.(c) 2022 Elsevier B.V. All rights reserved.
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页数：24
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