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Estimating Endogenous Liquidity Using Transaction and Order Book Information

In: Advances in Financial Risk Management

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Listed:
  • Philippe Durand
  • Yalin Gündüz
  • Isabelle Thomazeau

Abstract

The liquidity of instruments has been a key area of financial research on its own within the past decades, where theoretical and empirical studies have shown statistically significant effects of liquidity on asset prices. Recent research has treated the impacts of liquidity as fundamental and incorporated liquidity-adjusted modifications into the original Capital Asset Pricing Model (CAPM) framework (Acharya and Pedersen, 2005). There is also a vast literature on the implications of liquidation risk (Huang, 2003; Duffie, Garleanu and Pedersen, 2007; Longstaff, 2009). An important review of the literature on liquidity and asset prices can be found in Amihud, Mendelson and Pedersen (2005).

Suggested Citation

  • Philippe Durand & Yalin Gündüz & Isabelle Thomazeau, 2013. "Estimating Endogenous Liquidity Using Transaction and Order Book Information," Palgrave Macmillan Books, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner (ed.), Advances in Financial Risk Management, chapter 8, pages 181-200, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-02509-8_8
    DOI: 10.1057/9781137025098_8
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    References listed on IDEAS

    as
    1. Nikolaou, Kleopatra, 2009. "Liquidity (risk) concepts: definitions and interactions," Working Paper Series 1008, European Central Bank.
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    More about this item

    Keywords

    Asset Price; Credit Default Swap; International Financial Reporting Standard; Capital Asset Price Model; Order Book;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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