Abstract

http://ssrn.com/abstract=1558447
 
 

References (1)



 
 

Citations (8)



 


 



What Are the Best Liquidity Proxies for Global Research?


Kingsley Y. L. Fong


University of New South Wales - School of Banking and Finance; Financial Research Network (FIRN)

Craig W. Holden


Indiana University - Kelley School of Business - Department of Finance

Charles Trzcinka


Indiana University - Kelley School of Business - Department of Finance

July 4, 2016


Abstract:     
Liquidity plays an important role in global research. We identify high quality liquidity proxies based on low-frequency (daily) data, which provide 1,000X to 10,000X computational savings compared to computing high-frequency (intraday) liquidity measures. We run horseraces of monthly and daily liquidity proxies constructed from low-frequency stock data against liquidity benchmarks computed from high-frequency data on 42 exchanges over 19 years. We find that the best liquidity proxies for global research are: (1) Closing Percent Quoted Spread is the best monthly percent-cost proxy when available, (2) 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, (3) the daily version of Closing Percent Quoted Spread is the best daily percent-cost proxy, and (4) the daily version of Amihud is the best daily cost-per-dollar-volume proxy.

Number of Pages in PDF File: 61

Keywords: Global, Liquidity, transaction costs, effective spread, price impact

JEL Classification: C15, G12, G20


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Date posted: March 5, 2010 ; Last revised: July 4, 2016

Suggested Citation

Fong, Kingsley Y. L. and Holden, Craig W. and Trzcinka, Charles, What Are the Best Liquidity Proxies for Global Research? (July 4, 2016). Available at SSRN: http://ssrn.com/abstract=1558447 or http://dx.doi.org/10.2139/ssrn.1558447

Contact Information

Kingsley Y. L. Fong
University of New South Wales - School of Banking and Finance ( email )
Sydney, NSW 2052
Australia

Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Craig W. Holden
Indiana University - Kelley School of Business - Department of Finance ( email )
Kelley School of Business
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-3383 (Phone)
812-855-5875 (Fax)
HOME PAGE: http://www.kelley.iu.edu/cholden

Charles Trzcinka (Contact Author)
Indiana University - Kelley School of Business - Department of Finance ( email )
Kelley School of Business
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-9908 (Phone)
812-855-5875 (Fax)

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