The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be … liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently … available for modelling and estimating the market liquidity of stocks. We discuss definitions of market liquidity that stress …

Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the … low costs of transaction. Providing a rigorous and empirically relevant definition of market liquidity has, however … estimating the market liquidity of assets. We consider definitions that stress the role of the bid-ask spread and the estimation …