INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN
INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN
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日本银行货币经济研究所
DOI:
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发表时间:
1999
期刊:
影响因子:
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通讯作者:
Tokiko Shimizu
中科院分区:
文献类型:
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作者:
Jun Muranaga;Tokiko Shimizu
This paper explores the factors affecting market liquidity using a simulation model of an artificial market. We first survey definition of market liquidity and discuss the relationship between market liquidity and market efficiency or stability. We then consider a continuous auction market and discuss factors affecting market liquidity. Incorporating the discussion, we construct an artificial market model and conduct various simulations. We find that an increase in the ratio of market participants following short-term market price movements results in an increase in the number of trades and at the same time a decrease in the volume of accumulated order flows. When market participants become more risk-averse on average, market liquidity decreases. A precipitous decrease in market liquidity results when market participants lose confidence in their expectations on future prices. Changes in the sensitivities of traders to market information affect market liquidity, but various market liquidity indicators do not necessarily move in the same direction. These results suggest that change in market liquidity indicators may not always be consistent. * Institute for Monetary and Economic Studies, and Financial Markets Department, Bank of Japan (E-mail: jun.muranaga@boj.or.jp, tokiko.shimizu@boj.or.jp) This paper is a part of the research effort of the study group on market liquidity established by the Committee on Global Financial System, a central bank forum established by the Governors of the G-10 Central Banks. The Bank for International Settlements has published the group’s output as a report on “Market Liquidity: Research Findings and Selected Policy Implications.” The report is available on the BIS web site (http://www.bis.org). Views expressed in this paper are those of the authors and not necessarily those of the Bank of Japan, the Committee on the Global Financial System, or the Bank for International Settlements.