학회소식
학회소식
[2011년 제 2차] Which Liquidity Proxy Measures Liquidity Best in Em
작성자 : 관리자
조회수 : 1083
게시일 :
2011-06-03
This study empirically investigates whether the low-frequency liquidity proxies that are popular among researchers capture liquidity effectively and, if they do, which of the proxies measures liquidity best. We carry out a comprehensive analysis using tick data that covers 1,183 stocks from 21emerging markets. The use of tick data allows us to compare various low-frequency liquidity proxies with various high-frequency transaction cost and price impact measures. We have several important findings. We find rich dispersion in transaction costs and price impacts across emerging markets. We also find that most of the spread proxies, including Roll’s spread, LOT, and Zeros, perform relatively well in emerging markets. But when it comes to price impact proxies, the Amihud measure is clearly the most effective. Finally, it is important to recognize that there is no one universal proxy that captures liquidity best across different emerging markets. One that works best in most of the markets does not necessarily perform best in a specific market. Hence, it is important to know which proxy is the best liquidity proxy in a specific emerging market. Finally, it appears that there are some countries where none of the proxies can be reliably employed.