diversification benefits for international investors. However, many stocks in these markets are thinly traded so liquidity is an … important consideration. We investigate which liquidity proxies best measure the actual cost of trading in 19 frontier markets … with liquidity benchmarks, while the FHT measure provides the best measure of the magnitude of actual transaction costs …

determinant of international stock market liquidity. Increased risk perception reduces liquidity around the world, and its impact … is not subsumed by other well-documented market-level determinants of liquidity. The effect is pervasive, but is stronger … phases of the business cycle, or the way liquidity is measured …

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …

We study marketwide liquidity and trading activity in China. Trading activity increases in up markets more than in down …. Whereas, on average, liquidity and trading activity are lower around holidays, in more recent times, trading activity has been …, but short selling also increases spreads, indicating lower liquidity. We also document the increased influence of global …

We document the performance of liquidity proxies in ETFs. Most proxies are developed for use in equities. However, ETFs … stock liquidity, proxies such as Daily Spread, High-Low, Close-High-Low, and Amihud all do a good job of capturing changes …

robust to different liquidity measures and time periods. It holds after controlling for the business cycle, macroeconomic … variables, and the party with House of Representatives and Senate majorities. There is evidence that the liquidity effect is …

-specific information asymmetry and improves portfolio liquidity, the liquidity of active ETFs is adversely affected by diversification …, consistent with the substitution effect between diversification and liquidity documented in the literature. Furthermore, we show … the gap between active ETF and underlying liquidity varies cross-sectionally and over time and can be explained by …

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial … metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities …. Liquidity commonality was present in 1997 - 2003 when commodity prices were relatively stable and during the recent boom. There …