表題番号：2025E-011
日付：2026/03/27
研究課題Empirical evidence of intra-day liquidity under market invariance theory
| 研究者所属（当時） | 資格 | 氏名 | |
|---|---|---|---|
| （代表者） | 商学学術院 商学部 | 講師 | 郭 楽文 |
| （連携研究者） | University of Maryland | Professor | Albert S. Kyle |
- 研究成果概要
- This paper examines intraday liquidity patterns in U.S. equity markets based on marketmicrostructure invariance. Using TAQ data from 2004 to 2023, we compare dollar depth,measured from quoted spreads and sizes, with the theoretically predicted liquidity derivedfrom dimensional analysis and leverage neutrality. Both measures show highly correlatedintraday patterns, with liquidity increasing throughout the trading day. Near the close, pre-dicted liquidity increases more than the empirical dollar depth, suggesting that end-of-day trading volume—often from crossing trades, auctions, or mutual fund rebalancing—contributes less to dollar depth than other types of trading. Invariance is a robust tool fordetecting market structure frictions.