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  • 标题:Volatility regimes and the provisions of liquidity in order book markets
  • 本地全文:下载
  • 作者:Helena, BELTRAN, Alain, DURRE, Pierre, GIOT
  • 期刊名称:Discussion Paper / Département des Sciences Économiques de l'Université Catholique de Louvain
  • 印刷版ISSN:1379-244X
  • 出版年度:2005
  • 卷号:1
  • 出版社:Université catholique de Louvain
  • 摘要:We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static relationship between liquidity and volatility is resilient to regime changes in volatility. Nevertheless, we do find that it is more costly to trade when volatility is large. A VAR analysis shows that the liquidity dynamics is similar in the low and high volatility regimes, although the drop in liquidity subsequent to volatility shocks is larger in the high volatility regime. Finally, the market is more resilient to volatility or liquidity shocks in periods of turnoils.
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