Liquidity, Volume, and Order Imbalance Volatility

• 成果类型: Article
• 署名作者: Bogousslavsky, Vincent; Collin-Dufresne, Pierre
• 署名单位: Boston College; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13248
• 发表日期: 2023
• 页码: 2189-2232
• 关键词: TRADING VOLUME; RETURN VOLATILITY; DEALER SERVICES; cross-section; MARKET; INFORMATION; Intraday; equilibrium; prices; COSTS

摘要

We examine the dynamics of liquidity using a comprehensive sample of U.S. stocks in the post-decimalization period. Motivated by a continuous-time inventory model, we compute a high-frequency measure of order imbalance volatility to proxy for the inventory risk faced by liquidity providers. We show that high-frequency order imbalance volatility is an important driver of liquidity and explains the often positive time-series relation between spread and volume for large stocks, which seems to run counter to most theoretical models. Furthermore, order imbalance volatility is priced in the cross-section of stock returns.