Amihudillikviditetsmåttet

Amihudillikviditetsmåttet, often referred to as the Amihud illiquidity measure or AI measure, is a metric used to assess the illiquidity of a security. It quantifies how much a security's price must move to absorb a unit of trading volume. Developed by Yakov Amihud, the measure is calculated as the absolute daily return divided by the daily trading volume. A higher AI measure indicates greater illiquidity, meaning that a significant price change is required to facilitate even a small amount of trading.

The core idea behind the Amihud illiquidity measure is that less liquid assets require larger price adjustments to attract buyers or sellers. When trading volume is low, a single trade can have a disproportionately large impact on the price. Conversely, highly liquid assets can absorb substantial trading volume with minimal price fluctuations. The measure is expressed in units of price change per unit of volume, such as basis points per dollar traded.

Academics and financial professionals use the Amihud illiquidity measure for various purposes. It is frequently employed in empirical studies to investigate the relationship between liquidity and asset returns, as illiquid assets are often expected to command a liquidity premium. It can also be used by portfolio managers to identify and manage the liquidity risk within their portfolios, and by investors to gauge the ease with which they can enter or exit positions in a particular security without significantly impacting its price. While widely used, it's important to note that the AI measure is just one of many liquidity metrics available.