Measuring Liquidity in Emerging Markets

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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...

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Bibliographic Details
Main Authors:	Kang, W., Zhang, Huiping
Format:	Journal Article
Published:	Elsevier 2014
Online Access:	http://www.sciencedirect.com/science/article/pii/S0927538X14000195 http://hdl.handle.net/20.500.11937/44613

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