Journal of Financial Economics Vol. 74 No. 3 2004
Measuring stock illiquidity: An investigation of the demand and supply schedules at the TASE
Abstract
We show that estimating demand and supply elasticities at the opening stage of trading at the Tel Aviv Stock Exchange is highly sensitive to which of several reasonable measures is used. We find that the demand curve is more elastic than the supply curve and that both are much more elastic in their “executable” areas. The empirical evidence indicates that elasticity is increasing during the continuous stage of trading. We discuss methods of estimation of price impact and document that the actual measure of price impact in call auctions is larger and more permanent for buys than for sells.
- DOI
- 10.1016/j.jfineco.2003.09.004
- Volume
- 74
- Issue
- 3
- Pages
- 461-486
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref