Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares
Joint Authors
Yuan, Jianhui
Pan, Yu
Zhang, Xin
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-07-16
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
Liquidity has always been a hot spot for researchers of financial market microstructures.
Analysis of liquidity is of great significance for investors and market regulators.
Ultrahigh frequency data records the whole dynamic change of the trading process, so it has advantages in depicting the market microstructure.
This study analyzes Asian emerging market equities liquidity using ultrahigh frequency data.
We used various forms of WACD models and let trading duration be indicators of liquidity.
Through the residual test, we were able to select the best model to describe the overall liquidity.
American Psychological Association (APA)
Yuan, Jianhui& Pan, Yu& Zhang, Xin. 2015. Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-10.
https://search.emarefa.net/detail/BIM-1073634
Modern Language Association (MLA)
Yuan, Jianhui…[et al.]. Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares. Mathematical Problems in Engineering No. 2015 (2015), pp.1-10.
https://search.emarefa.net/detail/BIM-1073634
American Medical Association (AMA)
Yuan, Jianhui& Pan, Yu& Zhang, Xin. Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-10.
https://search.emarefa.net/detail/BIM-1073634
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1073634