TY - JOUR
AU - Trzcinka, Charles A
AB - AbstractLiquidity plays an important role in global research. We identify high-quality liquidity proxies based on low-frequency (daily) data, which provide 1,000× to 10,000× computational savings compared to computing high-frequency (intraday) liquidity measures. We find that: (i) Closing Percent Quoted Spread is the best monthly percent-cost proxy when available, (ii) Amihud, Closing Percent Quoted Spread Impact, LOT Mixed Impact, High–Low Impact, and FHT Impact are tied as the best monthly cost-per-dollar-volume proxy, (iii) the daily version of Closing Percent Quoted Spread is the best daily percent-cost proxy, and (iv) the daily version of Amihud is the best daily cost-per-dollar-volume proxy.
TI - What Are the Best Liquidity Proxies for Global Research?*
JF - Review of Finance
DO - 10.1093/rof/rfx003
DA - 2017-07-01
UR - https://www.deepdyve.com/lp/oxford-university-press/what-are-the-best-liquidity-proxies-for-global-research-XzuUHe8XK5
SP - 1355
EP - 1401
VL - 21
IS - 4
DP - DeepDyve
ER -