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How Liquid are Markets?

Author

Listed:
  • Gaëlle Le Fol

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique)

  • Julien Idier

    (Centre de recherche de la Banque de France - Banque de France)

  • Caroline Jardet

    (Centre de recherche de la Banque de France - Banque de France)

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.

Suggested Citation

  • Gaëlle Le Fol & Julien Idier & Caroline Jardet, 2009. "How Liquid are Markets?," Post-Print halshs-00638443, HAL.
    • Handle: RePEc:hal:journl:halshs-00638443
    as

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    Cited by:

    1. Serge Darolles & Gaëlle Le Fol, 2003. "Trading Volume and Arbitrage," Working Papers 2003-46, Center for Research in Economics and Statistics.
    2. Vladimir Borgy & Julien Idier & Gaëlle Le Fol, 2010. "Liquidity Problems in the FX Liquid Market : Ask for the BIL" "," Working Papers 2010-16, Center for Research in Economics and Statistics.

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