Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
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The paper proposes a new measure, VNET, of market liquidity which directly measures the depth of the market. The measure is constructed from the excess volume of buys or sells during a market event defined by a price movement. As this measure varies over time, it can be forecast and explained. Using
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美国国家经济研究局创建时间：
1997-08-01
