Measuring commodity market quality

Tobias Lauter*, Marcel Prokopczuk

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

Abstract

In this paper, we identify the most suitable low-frequency proxies for analyzing commodity market quality. We use an 11-year sample of millisecond time-stamped order book data and examine the correlation of high-frequency liquidity and price efficiency measures with their low-frequency proxies measured with daily or 5-min Time-and-Sales (TAS) data. We find that for liquidity, the volatility-over-volume measures are the best proxies for bid–ask spread and price impact. The correlation of price efficiency measures with their daily-frequency counterparts is low. Moderately correlated proxies can be achieved by using 5-min data.

Original languageEnglish
Article number106658
Pages (from-to)1-24
Number of pages24
JournalJournal of Banking and Finance
Volume145
DOIs
Publication statusPublished - Dec 2022

Keywords

  • Commodity markets
  • High-frequency data
  • Liquidity
  • Market efficiency
  • Market quality

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