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Article Dans Une Revue Bankers Markets & Investors : an academic & professional review Année : 2009

How Liquid are Markets?

Résumé

This paper summarizes the main aspects of market liquidity which is an elusive and multidimensional concept. We consider several liquidity indicators through four categories: immediacy, depth, tightness and resiliency. These classes are then illustrated for four major financial institutions hit by the ongoing financial crisis: AIG, Lehman, BNP and Dexia. We particularly insist on the non substitutability of liquidity indicators since each of them does not account for the same market characteristics.
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Dates et versions

halshs-00638443 , version 1 (04-11-2011)

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  • HAL Id : halshs-00638443 , version 1

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Gaëlle Le Fol, Julien Idier, Caroline Jardet. How Liquid are Markets?: AN APPLICATION TO STOCK MARKETS. Bankers Markets & Investors : an academic & professional review, 2009, 103, pp.50-58. ⟨halshs-00638443⟩
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