Details
| Original language | English |
|---|---|
| Article number | 106658 |
| Journal | Journal of Banking and Finance |
| Volume | 145 |
| Early online date | 30 Aug 2022 |
| Publication status | Published - Dec 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.
Keywords
- Commodity markets, High-frequency data, Liquidity, Market efficiency, Market quality
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of Banking and Finance, Vol. 145, 106658, 12.2022.
Research output: Contribution to journal › Article › Research › 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 -