Measuring Liquidity in Financial Markets

IMF Working Papers, December 1, 2002

Source details

Canonical URL

Measuring Liquidity in Financial Markets

Other formats

• Markdown version
• Structured JSON version
• Bundle manifest

Bibliographic details

• Authors: Tonny Lybek, Abdourahmane Sarr
• Published: December 1, 2002
• Series: IMF Working Papers
• DOI: https://doi.org/10.5089/9781451875577.001

Overview

• Title: Measuring Liquidity in Financial Markets
• Authors: Tonny Lybek, Abdourahmane Sarr
• Publication date: December 1, 2002
• Publication series: IMF Working Papers, Working Paper No. 2002/232
• Pages: 63
• Issue: 232
• Volume: 2002
• DOI: https://doi.org/10.5089/9781451875577.001
• Stock No: WPIEA2322002
• ISBN: 9781451875577
• ISSN: 1018-5941
• Note: "This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate"

Summary of scope and purpose

• Provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets.
• Emphasizes that a number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.

Measures and liquidity dimensions reviewed

• Measures discussed include:
  • bid-ask spreads
  • turnover ratios
  • price impact measures
• Liquidity aspects these measures gauge:
  • tightness (costs)
  • immediacy
  • depth
  • breadth
  • resiliency

Applications and operational usefulness

• The measures are applied in selected markets to illustrate operational usefulness:
  • foreign exchange markets
  • money markets
  • capital markets

Subject and keywords

• Subject: Asset prices, Currency markets, Liquidity, Liquidity indicators, Securities markets
• Keywords: exchange rate, market liquidity, money market, price change, WP

Access and formats

• Formats referenced: Download PDF; More Formats on IMF eLibrary
• Citation example provided: Tonny Lybek, and Abdourahmane Sarr. "Measuring Liquidity in Financial Markets", IMF Working Papers 2002, 232 (2002), accessed 9/11/2026, https://doi.org/10.5089/9781451875577.001

Source: IMF Working Paper "Measuring Liquidity in Financial Markets" by Tonny Lybek and Abdourahmane Sarr, December 1, 2002.

Content in this bundle

• Measuring Liquidity in Finiancial Markets - WP/02/232
  • Measuring Liquidity in Finiancial Markets - WP/02/232 (Markdown version)
  • Measuring Liquidity in Finiancial Markets - WP/02/232 (PDF)