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-frequ...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-12-01
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| Series: | Economies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7099/6/4/67 |
| _version_ | 1818007252709146624 |
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| author | Hee-Joon Ahn Jun Cai Cheol-Won Yang |
| author_facet | Hee-Joon Ahn Jun Cai Cheol-Won Yang |
| author_sort | Hee-Joon Ahn |
| collection | DOAJ |
| description | 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 (<i>LOT</i>) measure is the most effective spread proxy in most emerging markets. Among the price impact proxies, the Amihud measure is the most effective. |
| first_indexed | 2024-04-14T05:13:27Z |
| format | Article |
| id | doaj.art-4738576c1cb14370a42fca1290d4ae53 |
| institution | Directory Open Access Journal |
| issn | 2227-7099 |
| language | English |
| last_indexed | 2024-04-14T05:13:27Z |
| publishDate | 2018-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Economies |
| spelling | doaj.art-4738576c1cb14370a42fca1290d4ae532022-12-22T02:10:28ZengMDPI AGEconomies2227-70992018-12-01646710.3390/economies6040067economies6040067Which Liquidity Proxy Measures Liquidity Best in Emerging Markets?Hee-Joon Ahn0Jun Cai1Cheol-Won Yang2Business School, Sungkyunkwan University, 25-2, Sungkyunkwan-ro, Seoul 110-745, KoreaDepartment of Economics and Finance, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, ChinaSchool of Business Administration, Dankook University, 152 Jukjeon-ro, Suji-gu, Yongin-si, Gyeonggi-do 16890, KoreaThis 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 (<i>LOT</i>) measure is the most effective spread proxy in most emerging markets. Among the price impact proxies, the Amihud measure is the most effective.https://www.mdpi.com/2227-7099/6/4/67liquidity proxyemerging markettransaction costprice impact |
| spellingShingle | Hee-Joon Ahn Jun Cai Cheol-Won Yang Which Liquidity Proxy Measures Liquidity Best in Emerging Markets? Economies liquidity proxy emerging market transaction cost price impact |
| title | Which Liquidity Proxy Measures Liquidity Best in Emerging Markets? |
| title_full | Which Liquidity Proxy Measures Liquidity Best in Emerging Markets? |
| title_fullStr | Which Liquidity Proxy Measures Liquidity Best in Emerging Markets? |
| title_full_unstemmed | Which Liquidity Proxy Measures Liquidity Best in Emerging Markets? |
| title_short | Which Liquidity Proxy Measures Liquidity Best in Emerging Markets? |
| title_sort | which liquidity proxy measures liquidity best in emerging markets |
| topic | liquidity proxy emerging market transaction cost price impact |
| url | https://www.mdpi.com/2227-7099/6/4/67 |
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