Measuring and Explaining the Asymmetry of Liquidity
Published By: IGIDR on eSS | Published Date: March, 20 , 2012This paper examines transactions costs in buying versus selling using a large database
of snapshots of the limit order book. On the equity spot market, there is clear evidence
of asymmetry in liquidity: transactions costs are lower for buy market orders when
compared with sell market orders. In the identical setting, trading in single stock
futures is also observed, and there is little evidence of asymmetry. This suggests that
asymmetry in liquidity may be driven by short sales restrictions which are present on
the spot market but not on the single stock futures market. [WP-2012-011]. URL:[http://www.igidr.ac.in/pdf/publication/WP-2012-011.pdf].
Author(s): Rajat Tayal, Susan Thomas | Posted on: Apr 19, 2012 | Views(644) | Download (136)