Which Liquidity Proxy Measures Liquidity Best in Emerging Markets?

Hee-Joon Ahn, Jun Cai and Cheol-Won Yang
Additional contact information
Hee-Joon Ahn: Business School, Sungkyunkwan University, 25-2, Sungkyunkwan-ro, Seoul 110-745, Korea
Jun Cai: Department of Economics and Finance, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China
Cheol-Won Yang: School of Business Administration, Dankook University, 152 Jukjeon-ro, Suji-gu, Yongin-si, Gyeonggi-do 16890, Korea

Economies, 2018, vol. 6, issue 4, 1-29

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.

Keywords: liquidity proxy; emerging market; transaction cost; price impact (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://www.mdpi.com/2227-7099/6/4/67/pdf (application/pdf)
https://www.mdpi.com/2227-7099/6/4/67/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jecomi:v:6:y:2018:i:4:p:67-:d:189816

Access Statistics for this article

Economies is currently edited by Ms. Hongyan Zhang

More articles in Economies from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().