Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/197107
Authors: 
Ahn, Hee-Joon
Cai, Jun
Yang, Cheol-Won
Year of Publication: 
2018
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 6 [Year:] 2018 [Issue:] 4/67 [Pages:] 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.
Subjects: 
liquidity proxy
emerging market
transaction cost
price impact
JEL: 
G12
G15
G20
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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