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Title: Measuring liquidity in emerging markets
Keywords: Liquidity; effective bid-ask spread; price impact; Illiq_Zero; correlation; principal component analysis
Issue Date: 16-Feb-2011
Citation: ZHANG HUIPING (2011-02-16). Measuring liquidity in emerging markets. ScholarBank@NUS Repository.
Abstract: I propose a new liquidity measure, Illiq_Zero, which incorporates both the trading frequency and the price impact dimensions of liquidity. Based on the transaction-level data for 20 emerging markets from 1996 to 2007, I conduct a comparison analysis on the new liquidity measure and the other existing liquidity proxies. The results indicate that the new liquidity measure shows the highest correlations with the liquidity benchmarks. The Amihud illiquidity ratio of absolute stock returns to trading volume and the Zeros measure defined as the proportion of zero return days within a month are moderately correlated with the liquidity benchmarks and their performance is related to the trading activeness of the market.
Appears in Collections:Ph.D Theses (Open)

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