Review of Finance Vol. 21 No. 4 2017
What Are the Best Liquidity Proxies for Global Research?
Abstract
Liquidity 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.
- DOI
- 10.1093/rof/rfx003
- Volume
- 21
- Issue
- 4
- Pages
- 1355-1401
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref