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 …

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …

Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …

Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be …. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated … stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity …

provides satisfactory evidence for the existence of commonality in liquidity for both spot and derivatives market. For equities … volatility and for options after accounting for the underlying stock market liquidity and implied volatility. Compared to the … stock market, options market exhibit an increased commonality in liquidity with market capitalization. Here information …

We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets … at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency level and it has … increases this commonality. Moreover, commonality in FX liquidity has a significant positive impact on the commonality in FX …

Ukraine has some large listed companies, the market is quite illiquid. We study the efficiency of five liquidity measures in …

competition among liquidity suppliers and lower picking-o↵ risk of limit orders. Due to these countervailing channels, the impact … of fragmentation on liquidity and welfare di↵ers with asset volatility: when volatility is high (low), liquidity and …'s predictions about liquidity. Our model reconciles the mixed results in the empirical literature. …