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Is Liquidity Symmetric? A Study of Newly Listed Internet and Technology Stocks
Author(s) -
MICHAYLUK DAVID,
NEUHAUSER KARYN
Publication year - 2008
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/j.1468-2443.2008.00080.x
Subject(s) - market liquidity , the internet , sample (material) , asymmetry , economics , monetary economics , information asymmetry , liquidity crisis , liquidity risk , econometrics , business , financial economics , computer science , finance , physics , quantum mechanics , world wide web , thermodynamics
Imbedded in liquidity measures is an implicit assumption of symmetry. Although market microstructure models rely on this assumption, there may be directional pressure that creates differences in buy and sell liquidity. This paper develops methods of assessing asymmetric liquidity and empirically examines a sample of newly listed Internet and technology stocks that are hypothesized to be especially subject to asymmetry due to the rapid inflation and deflation of the Internet bubble. Evidence of asymmetric liquidity is observed and the level of asymmetry is found to change over time. These findings suggest that the assumption of symmetry is inconsistent with more precisely constructed market liquidity measures.