Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions
研究发现，在快速竞争市场中，使用流行的MTAQ数据库会导致价差、交易方向和价格冲击等流动性指标失真，问题源于撤回报价、秒级时间戳等。昂贵方案是使用DTAQ数据库，廉价方案则采用插值时间技术并调整撤回报价，可改善研究推断。
ABSTRACT Do fast, competitive markets yield liquidity measurement problems when using the popular Monthly Trade and Quote (MTAQ) database? Yes. MTAQ yields distorted measures of spreads, trade location, and price impact compared with the expensive Daily Trade and Quote (DTAQ) database. These problems are driven by (1) withdrawn quotes, (2) second (versus millisecond) time stamps, and (3) other causes, including canceled quotes. The expensive solution, using DTAQ, is first‐best. For financially constrained researchers, the cheap solution—using MTAQ with our new Interpolated Time technique, adjusting for withdrawn quotes, and deleting economically nonsensical states—is second‐best. These solutions change research inferences.