Detecting Liquidity Traders
2009 ◽
Vol 44
(1)
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pp. 29-54
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Keyword(s):
Tel Aviv
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AbstractWe develop a measure (based on the relative slopes of the demand and supply schedules) quantifying the asymmetric presence of liquidity traders in the market: a steeper slope of the demand (supply) schedule indicates a concentration of liquidity traders on the demand (supply) side. Using the opening session of the Tel Aviv Stock Exchange, we demonstrate the predictive power of our measure. Consistent with theory, we find that the concentration of liquidity traders on the demand (supply) side is negatively (positively) correlated with future returns. We find that liquidity traders are likely to arrive at the market together (commonality).
2012 ◽
Vol 12
(8)
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pp. 1283-1298
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1975 ◽
Vol 10
(1)
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pp. 129
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1998 ◽
Vol 22
(5)
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pp. 489-512
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2021 ◽
Vol 24
(1)
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pp. 91-102
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1997 ◽
Vol 45
(3)
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pp. 365-390
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2000 ◽
Vol 5
(2)
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pp. 3-26