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Determinants of intraday market liquidity: an empirical analysis of Indian futures market using high frequency data

Liquidity study is one of the most discussed and explored area of market microstructure studies. This study is an empirical analysis of the intraday market liquidity and volume concentration of the SP first objective is to display the pattern of intraday market liquidity through commonly used measures. Second objective is to explain the concept of intraday market concentration and its pattern. Intraday market concentration is calculated by GINI index in order to examine the extent to which trading volume is characterised by small-sized homogeneous trade or small number of larger-sized trades. And the third objective is to empirically analyse the dimensions of intraday market liquidity, i.e., tightness, market depth, resiliency and trading time using different proxies. Empirical investigation explains that intraday market tightness and time dimension follow a GARCH and TARCH model while depth and resiliency dimension follow an ARCH and GARCH models. The proxies of each dimensions, i.e., bid-asks spread (tightness), and return volatility (resiliency) explains that market is less liquid, whereas trading volume (depth) and waiting time between subsequent trades (trading time) is showing the high liquidity in the market.