Abstract
This paper investigates the efficacy of low-frequency transactions-based liquidity measures to describe actual (high-frequency) liquidity. We show that the Corwin and Schultz (2012) and Abdi and Ranaldo (2017) estimators outperform other measures in describing time-series variations, irrespective of the observation frequency, trading venue, high-frequency liquidity benchmark, and cryptocurrency. Both measures perform well during high and low return, volatility and volume periods. The Kyle and Obizhaeva (2016) estimator and the Amihud (2002) illiquidity ratio outperform when estimating liquidity levels. These two estimators also reliably identify liquidity differences between trading venues. Overall, the results suggest that there is not yet a universally bestmeasure but there are reasonably good low-frequency measures.
| Dokumententyp: | Zeitschriftenartikel |
|---|---|
| Keywords: | Cryptocurrencies, Liquidity, Capital markets |
| Fakultät: | Betriebswirtschaft > Institut für Financial Innovation and Technology |
| Themengebiete: | 300 Sozialwissenschaften > 330 Wirtschaft |
| ISSN: | 0378-4266 |
| Sprache: | Englisch |
| Dokumenten ID: | 107108 |
| Datum der Veröffentlichung auf Open Access LMU: | 13. Sep. 2023, 17:03 |
| Letzte Änderungen: | 13. Sep. 2023, 17:03 |
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