[Continuous Auctions and Insider Trading]
Kyle (1985) divides the market liquidity into three aspects: tightness, depth and resiliency. \"Depth\" refers to the ability of the market to absorb quantities without having a large effect on price.
[Liquidity, Trading Rules, and Electronic Trading Systems]（没找到完整文献）
Harris (1990) points out that there are four dimensions in market liquidity, including width, depth, immediacy and resiliency. The indicator of depth reflects the possible scope of the agreement and does not carry a significant impact on price.
[Measuring Liquidity in Financial Markets]
Sarr and Lybet (2002) introduce various indicators used to analyze financial market liquidity. They divide numerous measures into four categories including transaction cost measures, volume-based measures, price-based measures and market-impact measures, each gauging different aspects of market liquidity, namely immediacy, tightness, breadth, depth and resiliency. Then they analyze various dimensions of liquidity in the foreign exchange, money, bond, and equity markets of a selected group of countries and illustrate their usefulness.
Schwartz (1991) points out that a liquid market must has three important traits: depth, breadth and resiliency. The author indicate that the market depth refers to
the market has orders both exceeding and under the transaction price and if the orders concentrate on a certain price level and there is huge bid-ask spread, the market is lack of depth which may leads to lack of liquidity.
[Measuring and Predicting Liquidity in the Stock Market]
Wyss (2004) uses the data of 18 stocks of Swiss Market Index to test 31 measures reflecting different dimensions of trading time, depth, tightness and resiliency in market liquidity. The results show that market depth would influence the bid-ask spreads, the turnover, trading volume and thus influence the market liquidity.
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