Qiu Shi-liang
Abstract
With high frequency data and the market liquidity depth indicator VNET, the dynamic features and the determinative factors of market liquidity are studied, and the market microstructure theories are verified. The results support the asymmetry information theory, and reveal that patient trading can decrease transaction costs for institutional investors.
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With high frequency data and the market liquidity depth indicator VNET, the dynamic features and the determinative factors of market liquidity are studied, and the market microstructure theories are verified. The results support the asymmetry information theory, and reveal that patient trading can decrease transaction costs for institutional investors.
Key concepts: Market liquidity, Market microstructure, Information asymmetry, Determinative, Transaction cost, Market impact, Liquidity crisis, Monetary economics