Volume, liquidity, and liquidity risk
- 作者：Timothy C. Johnson
- 关键词：Liquidity dynamics ; Transaction volume
- 刊名：Journal of Financial Economics
- 出版年：2008
- 期刊代码：41_0304405x
- 类别：eco
- 出版时间：February 2008
- 卷：87
- 期：2
- 页码：388-417
- 文件大小：972 K
摘要
Many classes of microstructure models, as well as intuition, suggest that it should be easier to trade when markets are more active. In the data, however, volume and liquidity seem unrelated over time. This paper offers an explanation for this fact based on a simple frictionless model in which liquidity reflects the average risk-bearing capacity of the economy and volume reflects the changing contribution of individuals to that average. Volume and liquidity are unrelated in the model, but volume is positively related to the variance of liquidity, or liquidity risk. Empirical evidence from the U.S. government bond and stock markets supports this new prediction.