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Lich · 2025年05月04日

如何

NO.PZ2023100905000003

问题如下:

Gilbert has been analyzing bid-ask spreads on over-the-counter equities for the last several years in his job as an equity analyst. He notes that with the exception of the 2007—2008 financial crisis, spreads have generally narrowed over his period of study. If Gilbert is correct, this is an indication that

选项:

A.

Liquidity has improved over the period.

B.

The market has become more resilient over the period.

C.

The depth of the market has improved over the period.

D.

Credit risk has fallen over the period.

解释:

Factors such as tightness, depth, and resiliency are characteristics used to measure market liquidity. Tightness (Or width) refers to the cost of a round-trip transaction, measured by the bid-ask spread and brokers’ commissions. The narrower the spread, the tighter it is. The tighter it is, the greater the liquidity. Depth describes how large an order must be to move the price adversely. In other words, can the market absorb the sale? Resiliency refers to the length of time it takes “lumpy orders” to move the market away from the equilibrium price. In other words, what is the ability of the market to “bounce back” from temporary incorrect prices? In this case, narrowing spreads is indicative of a more liquid market.

老师,BC可以解释一下吗

1 个答案

李坏_品职助教 · 2025年05月04日

嗨,爱思考的PZer你好:


题目的意思是,除了0708年次贷危机之外,OTC股票的价差(spread)是在收窄的。这说明什么?

价差收窄一般是说明市场流动性变强了,就是交易量多了,资金也多了,所以股票可以相对比较容易的进行买卖。


B说的是resilient,这个指的是如果股票价格短期内到了一个极高或者极低的价格,如果能快速恢复到正常水平,那么就是resilient的市场。但是题目没有提到这个过程。


C的depth指的是市场深度,指的是如果一个庄家一瞬间进行了大量的砸盘,如果此时市场上可以吸收这么多的砸盘量,那就是depth很好。题目也没有提到砸盘的事儿。

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