Abstract

http://ssrn.com/abstract=1558447
 
 

References (1)



 
 

Citations (9)



 


 



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 - Department of Finance

Charles Trzcinka


Indiana University - Department of Finance

March 2013


Abstract:     
We examine a relatively new global intraday dataset, Thomson Reuters Tick History (TRTH). We find that TRTH can match a relatively high percentage of Datastream stock-years. We find that TRTH intraday data and Bloomberg intraday data have relative small differences and are highly correlated. Using TRTH data, we compare liquidity proxies constructed from low-frequency (daily) stock data to liquidity benchmarks computed from high-frequency (intraday) data for 25,582 firms on 43 exchanges around the world on three performance dimensions: average cross-sectional correlation with the benchmarks, portfolio correlations with the benchmarks, and prediction accuracy. We find that a new proxy, FHT, strongly dominates prior percent cost proxies. It is highly correlated with four percent-cost benchmarks: percent effective spread, percent quoted spread, percent realized spread, and percent price impact. It also captures the level of percent effective spread and percent quoted spread. We find that the best cost-per-volume proxies are FHT Impact, LOT Mixed Impact, Zeros Impact, and Amihud. All four are highly correlated with the cost-per-volume benchmark lambda, but do not capture the level of lambda.

Number of Pages in PDF File: 36

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

JEL Classification: C15, G12, G20

working papers series


Download This Paper

Date posted: March 5, 2010 ; Last revised: May 6, 2013

Suggested Citation

Fong, Kingsley Y. L. and Holden, Craig W. and Trzcinka, Charles, What Are the Best Liquidity Proxies for Global Research? (March 2013). 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 - 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: www.kelley.iu.edu/cholden
Charles Trzcinka (Contact Author)
Indiana University - 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)
Feedback to SSRN


Paper statistics
Abstract Views: 1,747
Downloads: 472
Download Rank: 31,334
References:  1
Citations:  9

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.391 seconds