Artikel
Which liquidity proxy measures liquidity best in emerging markets?
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.
- Sprache
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Englisch
- Erschienen in
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Journal: Economies ; ISSN: 2227-7099 ; Volume: 6 ; Year: 2018 ; Issue: 4 ; Pages: 1-29 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
Financial Institutions and Services: General
- Thema
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liquidity proxy
emerging market
transaction cost
price impact
- Ereignis
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Geistige Schöpfung
- (wer)
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Ahn, Hee-Joon
Cai, Jun
Yang, Cheol-Won
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2018
- DOI
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doi:10.3390/economies6040067
- Handle
- Letzte Aktualisierung
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2025-03-10T11:43:54+0100
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Ahn, Hee-Joon
- Cai, Jun
- Yang, Cheol-Won
- MDPI
Entstanden
- 2018