Market depth in an illiquid market: applying the VNET concept to Victorian water markets

摘要

In the context of highly liquid markets and intra-day data, Engle and Lange (2001) successfully develop a measure of market depth they call VNET. This article explores the applicability of a modified version of this measure in the case of the weekly market for seasonal water in rural Victoria. The modified VNET measure is found to be successful in this much more illiquid market, and interestingly our results on determinants are qualitatively similar to those obtained in Engle and Lange (2001).