Huiping,
Zhang. 2011. Measuring Liquidity in
Emerging Markets. Doctoral Dissertation, NUS.
This study 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, Huiping 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.
No comments:
Post a Comment