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    Measuring Liquidity in Emerging Markets

    Access Status
    Fulltext not available
    Authors
    Kang, W.
    Zhang, Huiping
    Date
    2014
    Type
    Journal Article
    
    Metadata
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    Citation
    Kang, W. and Zhang, H. 2014. Measuring Liquidity in Emerging Markets. Pacific-Basin Finance Journal. 27: pp. 49-71.
    Source Title
    Pacific-Basin Finance Journal
    Additional URLs
    http://www.sciencedirect.com/science/article/pii/S0927538X14000195
    ISSN
    0927-538X
    School
    CBS International
    URI
    http://hdl.handle.net/20.500.11937/44613
    Collection
    • Curtin Research Publications
    Abstract

    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.

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