Which Liquidity Proxy Measures Liquidity Best in Emerging Markets?

Ahn, Hee-Joon and Cai, Jun and Yang, Cheol-Won (2018) Which Liquidity Proxy Measures Liquidity Best in Emerging Markets? Economies, 6 (4). p. 67. ISSN 2227-7099

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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.

Item Type: Article
Subjects: Open Archive Press > Multidisciplinary
Depositing User: Unnamed user with email support@openarchivepress.com
Date Deposited: 21 Mar 2024 04:32
Last Modified: 21 Mar 2024 04:32
URI: http://library.2pressrelease.co.in/id/eprint/1727

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