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 …