Which liquidity proxy measures liquidity best in emerging markets?

Hee-Joon Ahn, Jun Cai and Cheol-Won Yang

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.

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Year of publication:	December 2018
Authors:	Ahn, Hee-joon ; Chai, Joseph C. H. ; Yang, Cheol-Won
Subject:	liquidity proxy \| emerging market \| transaction cost \| price impact \| Schwellenländer \| Emerging economies \| Liquidität \| Liquidity \| Transaktionskosten \| Transaction costs \| Betriebliche Liquidität \| Corporate liquidity \| Marktliquidität \| Market liquidity \| Börsenkurs \| Share price \| Aktienmarkt \| Stock market

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/economies6040067 [DOI] hdl:10419/197107 [Handle]
Classification:	G12 - Asset Pricing ; G15 - International Financial Markets ; G20 - Financial Institutions and Services. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011956319