Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data
نویسندگان
چکیده
Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, along with dimensions. The analysis based Australian Securities Exchange (ASX), and from results, we conclude that content pessimistic periods higher its On daily basis, investor sentiments lead to trading costs, illiquidity, larger price dispersion lower volume.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm14090394