dc.contributor.author |
Marshall, B |
en |
dc.contributor.author |
Nguyen, Nhut |
en |
dc.contributor.author |
Visaltanachoti, N |
en |
dc.contributor.editor |
Spiegel, M |
en |
dc.date.accessioned |
2012-03-11T19:38:16Z |
en |
dc.date.issued |
2012 |
en |
dc.identifier.citation |
The Review of Financial Studies 25(2):599-638 2012 |
en |
dc.identifier.issn |
1465-7368 |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/13661 |
en |
dc.description.abstract |
We examine the performance of liquidity proxies in commodities. The Amihud measure has the largest correlation with liquidity benchmarks. Amivest and Effective Tick measures also perform well. These proxies are useful for studies of commodity liquidity over a long time period and those that lack access to high-frequency data. We use various aspects of transaction costs, such as spread, depth, immediacy, and resiliency, to give insight into the costs of different execution approaches. Transaction costs increase with volatility and exhibit mean reversion. Splitting trades over one hour can reduce trading costs by two-thirds compared to an immediate execution. |
en |
dc.publisher |
The Author(s) |
en |
dc.relation.ispartofseries |
Review of Financial Studies |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from http://www.sherpa.ac.uk/romeo/issn/0893-9454/ |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.title |
Commodity liquidity measurement and transaction costs |
en |
dc.type |
Journal Article |
en |
dc.identifier.doi |
10.1093/rfs/hhr075 |
en |
pubs.issue |
2 |
en |
pubs.begin-page |
599 |
en |
pubs.volume |
25 |
en |
dc.rights.holder |
Copyright: The Author(s) |
en |
pubs.end-page |
638 |
en |
dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
en |
pubs.subtype |
Article |
en |
pubs.elements-id |
233928 |
en |
pubs.record-created-at-source-date |
2011-10-19 |
en |