Liquidity, implied volatility and tail risk: A comparison of liquidity measures
Volume: 69, Pages: 101463 - 101463
Published: May 1, 2020
Abstract
Liquidity is easily perceived but not easily measured in financial markets. Researchers and practitioners develop and test new measures of liquidity which may be good candidates for measuring this elusive concept. In this study, we present a comparison of variables within two empirical exercises using up to eight traditional liquidity proxies and two proposed proxies based on semi-deviations in a sample of NYSE-listed stocks. The first empirical...
Paper Details
Title
Liquidity, implied volatility and tail risk: A comparison of liquidity measures
Published Date
May 1, 2020
Volume
69
Pages
101463 - 101463
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