Earticle

초록

영어

This study empirically investigates whether low-frequency liquidity proxies that are popular among researchers capture liquidity effectively and, if they do, which of the proxies measures liquidity best in emerging markets. We carry out a comprehensive analysis using a tick data that covers 1,183 stocks from 21 emerging markets. The use of a tick data allows us to compare various low-frequency liquidity proxies with a range of 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 the effectiveness is defined as how accurately a proxy measures actual transaction costs, LOT is most effective in the majority of the emerging markets considered in our study. When it comes to price impact proxies, the Amihud measure is clearly the most effective one with Amivest being the close second. Furthermore, certain firm and market characteristics such as turnover, return volatility, firm size, investibiity, legal origin, and trading mechanism significantly affect how accurately a proxy measures liquidity. 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 performs best in a specific market. Hence, it is important to know which proxy is the best liquidity proxy in a specific emerging market. In this regards, the results presented in this paper can be useful when one opts to identify the most efficient liquidity proxy in a specific emerging market.

목차

Abstract
 I. Introduction
 II. Variables
  2.1 Benchmarks from High-Frequency Data
  2.2 Proxies from Low-Frequency Data
 III. Data and Sample
 IV. Empirical Results
  4.1 Descriptive Statistics
  4.2 Correlation Analysis
  4.3 Incremental Regression
  4.4 Firm and Market Characteristics and Accuracy of Liquidity Proxy
 V. Conclusions
 References
 Table

저자

• Hee-Joon Ahn [ School of Business, Sungkyunkwan University, Jongno-gu, Seoul, Korea ] Corresponding Author
• Jun Cai [ Business School City University of Hong Kong Hong Kong, People’s Republic of China ]
• Cheol-Won Yang [ School of Business Administration Dankook University Gyeonggi-do, Korea ]

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발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330