Kurosaki, Tetsuo; Kumano, Yusuke; Okabe, Kota; Nagano, … - Bank of Japan - 2015
There is no single, widely-accepted definition of "market liquidity" even though the expression "market liquidity is high/low" is frequently used, and measuring market liquidity is not easy. Recognizing these challenges, this paper formulates a set of new liquidity indicators using transaction...