Which Liquidity Proxy Measures Liquidity Best in Emerging Markets?

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Original languageEnglish
Article number67
Journal / PublicationEconomies
Volume6
Issue number4
Online published11 Dec 2018
Publication statusPublished - Dec 2018

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Abstract

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets. We carry out a comprehensive analysis using tick data that cover 1183 stocks from 21 emerging markets, while also comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that the Lesmond, Ogden, and Trzcinka (LOT) measure is the most effective spread proxy in most emerging markets. Among the price impact proxies, the Amihud measure is the most effective.

Research Area(s)

  • liquidity proxy, emerging market, transaction cost, price impact, BID-ASK SPREADS, EXPECTED RETURNS, ILLIQUIDITY, NASDAQ, COSTS

Citation Format(s)

Which Liquidity Proxy Measures Liquidity Best in Emerging Markets? / Ahn, Hee-Joon; Cai, Jun; Yang, Cheol-Won.

In: Economies, Vol. 6, No. 4, 67, 12.2018.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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