Which liquidity proxy measures liquidity best in emerging markets?

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Economies ; ISSN: 2227-7099 ; Volume: 6 ; Year: 2018 ; Issue: 4 ; Pages: 1-29 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets ; Financial Institutions and Services: General
• Thema: liquidity proxy ; emerging market ; transaction cost ; price impact

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ahn, Hee-Joon ; Cai, Jun ; Yang, Cheol-Won
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2018

Weitere Informationen

• DOI: doi:10.3390/economies6040067
• Handle: http://hdl.handle.net/10419/197107
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ