Metrics of market liquidity of stocks
The purpose of the research. The article discusses the problem associated with the choice of quality metrics for analyzing the liquidity of stock market instruments traded in organized trading. Fundamental indicators of stock market instruments during a period of increased volatility were taken as a basis for the study. Basic metrics such as trading volume, the number of transactions and price changes in different periods of volatility are analyzed, and based on the results obtained, a search is made for the presence or absence of relationships between the given metrics. These metrics are fundamental and are analyzed primarily as key indicators of liquidity for instruments traded in organized trades. Also, additional metrics are calculated in order to obtain better results for the analysis of stock market instruments. These metrics include volume spread, average volumes at best bid and ask prices, and securities turnover. For an additional metric, spread on volume, a calculation method is proposed that shows the dynamics of the volume of money supply in the order book. Similarly, additional metrics are analyzed for the presence or absence of relationships, both among themselves and with basic metrics. Findings. The study shows which metrics can be more informative for describing the state of liquidity of stock market instruments in modern conditions of market trading. Thus, in the course of calculating the values of various metrics to find relationships between them, the results showed that the existing basic metrics can be supplemented to obtain a better picture of the liquidity state.