Which Liquidity Proxy Measures Liquidity Best in Emerging Markets?
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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.
2020 ◽
Vol 33
(11)
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pp. 4973-5014
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1986 ◽
Vol 44
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pp. 544-545
1996 ◽
Vol 54
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pp. 142-143
1992 ◽
Vol 1
(4)
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pp. 52-55
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1971 ◽
Vol 36
(4)
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pp. 527-537
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2019 ◽
Vol 85
(1(I))
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pp. 64-71
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