Measuring Liquidity in Emerging Markets
We propose a modified version of the Amihud illiquidity measure, AdjILLIQ, which performs well in different types of emerging markets. Our AdjILLIQ measure combines the virtues of the original Amihud ratio and the non-trading-frequency measure. It exhibits higher correlation with spread and price im...
| Main Authors: | , |
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| Format: | Journal Article |
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Elsevier
2014
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S0927538X14000195 http://hdl.handle.net/20.500.11937/44613 |