Journal of Banking & Finance Vol. 145 2022
Measuring commodity market quality
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.
- DOI
- 10.1016/j.jbankfin.2022.106658
- Volume
- 145
- Pages
- 106658
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref