Nonlinear market liquidity: An empirical examination
本文提出新的市场整体流动性指标，关注流动性分布的尾部而非平均值，发现市场条件对流动性分布尾部的影响不对称，并检验市场决定因素对流动性的非线性效应。
We offer novel indicators of market-wide liquidity. Previous literature uses averages of individual liquidity indicators to track the evolution of market-wide liquidity. Instead, we focus on the tails of the market liquidity distribution. First, we construct aggregate liquidity indicators using low and high quantiles of six liquidity measures (total volume, number of trades, effective spread, realized spread, price impact and lambda). Our results show that market conditions have an asymmetric impact on the tails of the liquidity distribution. In the second part of the study, we test for nonlinearity of the effects of market determinants on market liquidity.