Measuring stock illiquidity: An investigation of the demand and supply schedules at the TASE

• 成果类型: Article
• 署名作者: Kalay, A; Sade, O; Wohl, A
• 署名单位: Hebrew University of Jerusalem; Tel Aviv University; Utah System of Higher Education; University of Utah
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2003.09.004
• 发表日期: 2004
• 页码: 461-486
• 关键词: liquidity; elasticity; Price impact

摘要

We show that estimating demand and supply elasticities at the opening stage of trading at the Tel Aviv Stock Exchange is highly sensitive to which of several reasonable measures is used. We find that the demand curve is more elastic than the supply curve and that both are much more elastic in their executable areas. The empirical evidence indicates that elasticity is increasing during the continuous stage of trading. We discuss methods of estimation of price impact and document that the actual measure of price impact in call auctions is larger and more permanent for buys than for sells. (C) 2004 Elsevier B.V. All rights reserved.