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 |
| Published: |
Elsevier
2014
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S0927538X14000195 http://hdl.handle.net/20.500.11937/44613 |
| _version_ | 1848757051162886144 |
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| author | Kang, W. Zhang, Huiping |
| author_facet | Kang, W. Zhang, Huiping |
| author_sort | Kang, W. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 impact than other existing low-frequency liquidity measures in most of our sample markets. The improvement gained from using our AdjILLIQ measure is particularly significant in inactively-traded markets and low-turnover stocks. We find that the liquidity in emerging markets, as measured by AdjILLIQ, can be improved by better disclosure and less information asymmetry. Furthermore, the liquidity dry-up during market downturns can also be alleviated by better information environment. |
| first_indexed | 2025-11-14T09:21:56Z |
| format | Journal Article |
| id | curtin-20.500.11937-44613 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:21:56Z |
| publishDate | 2014 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-446132017-01-30T15:15:07Z Measuring Liquidity in Emerging Markets Kang, W. Zhang, Huiping 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 impact than other existing low-frequency liquidity measures in most of our sample markets. The improvement gained from using our AdjILLIQ measure is particularly significant in inactively-traded markets and low-turnover stocks. We find that the liquidity in emerging markets, as measured by AdjILLIQ, can be improved by better disclosure and less information asymmetry. Furthermore, the liquidity dry-up during market downturns can also be alleviated by better information environment. 2014 Journal Article http://hdl.handle.net/20.500.11937/44613 http://www.sciencedirect.com/science/article/pii/S0927538X14000195 Elsevier restricted |
| spellingShingle | Kang, W. Zhang, Huiping Measuring Liquidity in Emerging Markets |
| title | Measuring Liquidity in Emerging Markets |
| title_full | Measuring Liquidity in Emerging Markets |
| title_fullStr | Measuring Liquidity in Emerging Markets |
| title_full_unstemmed | Measuring Liquidity in Emerging Markets |
| title_short | Measuring Liquidity in Emerging Markets |
| title_sort | measuring liquidity in emerging markets |
| url | http://www.sciencedirect.com/science/article/pii/S0927538X14000195 http://hdl.handle.net/20.500.11937/44613 |