On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios

Mazza, Paolo; Petitjean, Mikael

Document type :

Compte-rendu et recension critique d'ouvrage

DOI :

10.1016/j.econmod.2015.12.016

Title :

On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios

Author(s) :

Mazza, Paolo [Auteur]
Lille économie management - UMR 9221 [LEM]
Petitjean, Mikael [Auteur]
Lille économie management - UMR 9221 [LEM]

Journal title :

Economic Modelling

Pages :

67--81

Publisher :

Elsevier

Publication date :

2016-04

ISSN :

0264-9993

English keyword(s) :

Liquidity
Price dynamics
Intraday
Volatility

HAL domain(s) :

Sciences de l'Homme et Société/Gestion et management

English abstract : [en]

We find that easy-to-observe price ranges are useful for estimating intraday liquidity. Following the literature on range-based volatility estimators, we go beyond the use of the closing price only and rely on the full ...
Show more >We find that easy-to-observe price ranges are useful for estimating intraday liquidity. Following the literature on range-based volatility estimators, we go beyond the use of the closing price only and rely on the full range of prices. Based on high, low, opening, and closing (HLOC) prices, we show that a greater intensity in the price discovery process (as measured by the open–close range) and a higher level of price uncertainty (as captured by the High–Low range) lower ex-ante liquidity for small, mid, and large caps. Realized volatility (RV) fails to capture these effects. Although order books have become increasingly difficult to treat, there is some good news: it has never been easier to look at price ranges.Show less >

Language :

Anglais

Popular science :

Non

Collections :

Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL

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