Commodity Liquidity Measurement and Transaction Costs

• 成果类型: Article
• 署名作者: Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat
• 署名单位: University of Auckland; Massey University; Massey University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr075
• 发表日期: 2012
• 页码: 599
• 关键词: EXECUTION COSTS; STOCK; illiquidity

摘要

We examine the performance of liquidity proxies in commodities. The Amihud measure has the largest correlation with liquidity benchmarks. Amivest and Effective Tick measures also perform well. These proxies are useful for studies of commodity liquidity over a long time period and those that lack access to high-frequency data. We use various aspects of transaction costs, such as spread, depth, immediacy, and resiliency, to give insight into the costs of different execution approaches. Transaction costs increase with volatility and exhibit mean reversion. Splitting trades over one hour can reduce trading costs by two-thirds compared to an immediate execution. (JEL G11, G12, G13)