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.

Object Details

• Language: Englisch

References and Relationships

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

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Ahn, Hee-Joon ; Cai, Jun ; Yang, Cheol-Won
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2018

Further information

• DOI: doi:10.3390/economies6040067
• Handle: http://hdl.handle.net/10419/197107
• Last update: 10.03.2025, 11:43 AM CET