Measuring stock illiquidity: An investigation of the demand and supply schedules at the TASE

Avner Kalay, Orly Sade*, Avi Wohl

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

27 Scopus citations


We show that estimating demand and supply elasticities at the opening stage of trading at the Tel Aviv Stock Exchange is highly sensitive to which of several reasonable measures is used. We find that the demand curve is more elastic than the supply curve and that both are much more elastic in their "executable" areas. The empirical evidence indicates that elasticity is increasing during the continuous stage of trading. We discuss methods of estimation of price impact and document that the actual measure of price impact in call auctions is larger and more permanent for buys than for sells.

Original languageAmerican English
Pages (from-to)461-486
Number of pages26
JournalJournal of Financial Economics
Issue number3
StatePublished - Dec 2004

Bibliographical note

Funding Information:
We wish to thank the Tel Aviv Stock Exchange for providing us the data. We appreciate many helpful comments and suggestions from Gideon Saar (the referee). We also benefited from the comments of Oliver Hansch, Eugene Kandel, Beni Lauterbach, Mike Lemmon, Wayne Mikkelson, Avanidhar Subrhamanyam, Joakim Westerholm, and participants in finance seminars at the University of Utah, Hebrew University, Tel Aviv University, University of Arizona, University of Oregon, and the University of Pittsburgh, and participants in the 2000 NASDAQ Notre-Dame Microstructure Conference, the 2001 Western Finance Association meeting in Tucson, the 2001 FMA meeting in Toronto, and the European Finance Association Meeting 2003 in Glasgow. We would also like to thank Jon Ross for his excellent programming and Isabel Tkatch for generously providing us her data. Sade thanks the CIBER of the DESB at the University of Utah and the Krueger Center for Finance at the Hebrew University of Jerusalem for partial financial support.


  • Elasticity
  • Liquidity
  • Price impact


Dive into the research topics of 'Measuring stock illiquidity: An investigation of the demand and supply schedules at the TASE'. Together they form a unique fingerprint.

Cite this