Details
| Originalsprache | Englisch |
|---|---|
| Aufsatznummer | 106658 |
| Fachzeitschrift | Journal of Banking and Finance |
| Jahrgang | 145 |
| Frühes Online-Datum | 30 Aug. 2022 |
| Publikationsstatus | Veröffentlicht - Dez. 2022 |
Abstract
In this paper, we identify the most suitable low-frequency proxies for analyzing commodity market quality. We use an 11-year sample of millisecond time-stamped order book data and examine the correlation of high-frequency liquidity and price efficiency measures with their low-frequency proxies measured with daily or 5-min Time-and-Sales (TAS) data. We find that for liquidity, the volatility-over-volume measures are the best proxies for bid–ask spread and price impact. The correlation of price efficiency measures with their daily-frequency counterparts is low. Moderately correlated proxies can be achieved by using 5-min data.
ASJC Scopus Sachgebiete
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Finanzwesen
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Volkswirtschaftslehre und Ökonometrie
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in: Journal of Banking and Finance, Jahrgang 145, 106658, 12.2022.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - Measuring commodity market quality
AU - Lauter, Tobias
AU - Prokopczuk, Marcel
N1 - Funding information: We thank two anonymous referees, the associate editor, Andrew Lepone, Vito Mollica, and Stefan Trück for helpful comments. We gratefully acknowledge financial support from the German Research Foundation (DFG) [project number 450791994].
PY - 2022/12
Y1 - 2022/12
N2 - In this paper, we identify the most suitable low-frequency proxies for analyzing commodity market quality. We use an 11-year sample of millisecond time-stamped order book data and examine the correlation of high-frequency liquidity and price efficiency measures with their low-frequency proxies measured with daily or 5-min Time-and-Sales (TAS) data. We find that for liquidity, the volatility-over-volume measures are the best proxies for bid–ask spread and price impact. The correlation of price efficiency measures with their daily-frequency counterparts is low. Moderately correlated proxies can be achieved by using 5-min data.
AB - In this paper, we identify the most suitable low-frequency proxies for analyzing commodity market quality. We use an 11-year sample of millisecond time-stamped order book data and examine the correlation of high-frequency liquidity and price efficiency measures with their low-frequency proxies measured with daily or 5-min Time-and-Sales (TAS) data. We find that for liquidity, the volatility-over-volume measures are the best proxies for bid–ask spread and price impact. The correlation of price efficiency measures with their daily-frequency counterparts is low. Moderately correlated proxies can be achieved by using 5-min data.
KW - Commodity markets
KW - High-frequency data
KW - Liquidity
KW - Market efficiency
KW - Market quality
UR - http://www.scopus.com/inward/record.url?scp=85137759579&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2022.106658
DO - 10.1016/j.jbankfin.2022.106658
M3 - Article
VL - 145
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
M1 - 106658
ER -