Market Liquidity and Convexity of Order Book (Evidence From China)
AbstractMarket liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the high-frequency data of each stock included in the SSE (Shanghai Stock Exchange) 50 Index for the year 2011, we report several statistical properties of convexity and analyze the association between convexity and some other important variables (bid/ask-depth, spread, volatility, return.)
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1211.2078.
Date of creation: Nov 2012
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Web page: http://arxiv.org/
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