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Measuring commodity market quality
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DOI：10.1016/j.jbankfin.2022.106658.png)
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Abstract
En 中文
In this paper, we identify the most suitable low-frequency proxies for analyzing commodity market qual-ity. We use an 11-year sample of millisecond time-stamped order book data and examine the correlation of high-frequency liquidity and price efficiency measures with their low-frequency proxies measured with daily or 5-min Time-and-Sales (TAS) data. We find that for liquidity, the volatility-over-volume measures are the best proxies for bid-ask spread and price impact. The correlation of price efficiency measures with their daily-frequency counterparts is low. Moderately correlated proxies can be achieved by using 5-min data.(c) 2022 Elsevier B.V. All rights reserved.
Keywords:
Commodity markets
Market quality
Liquidity
Market efficiency
High -frequency data
Journal
J
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3.8
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6.4K
Citations:
2.4W