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.
| Original language | English |
|---|---|
| Article number | 67 |
| Journal | Economies |
| Volume | 6 |
| Issue number | 4 |
| Online published | 11 Dec 2018 |
| DOIs | |
| Publication status | Published - Dec 2018 |
Research Keywords
- liquidity proxy
- emerging market
- transaction cost
- price impact
- BID-ASK SPREADS
- EXPECTED RETURNS
- ILLIQUIDITY
- NASDAQ
- COSTS
Publisher's Copyright Statement
- This full text is made available under CC-BY 4.0. https://creativecommons.org/licenses/by/4.0/