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Which Liquidity Proxy Measures Liquidity Best in Emerging Markets?

Business School, Sungkyunkwan University, 25-2, Sungkyunkwan-ro, Seoul 110-745, Korea
Department of Economics and Finance, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China
School of Business Administration, Dankook University, 152 Jukjeon-ro, Suji-gu, Yongin-si, Gyeonggi-do 16890, Korea
Author to whom correspondence should be addressed.
Economies 2018, 6(4), 67;
Received: 12 October 2018 / Revised: 27 November 2018 / Accepted: 4 December 2018 / Published: 11 December 2018
(This article belongs to the Special Issue Efficiency and Anomalies in Stock 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-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. View Full-Text
Keywords: liquidity proxy; emerging market; transaction cost; price impact liquidity proxy; emerging market; transaction cost; price impact
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Ahn, H.-J.; Cai, J.; Yang, C.-W. Which Liquidity Proxy Measures Liquidity Best in Emerging Markets? Economies 2018, 6, 67.

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