@article {Clark37, author = {Andrew Clark}, title = {Revamping Liquidity Measures: Improving Investability in Emerging and Frontier Market Indices and Their Related ETFs }, volume = {2}, number = {3}, pages = {37--43}, year = {2011}, doi = {10.3905/jii.2011.2.3.037}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article presents a new way of measuring stock liquidity. Recent research has demonstrated that measures based on volume, transaction, and turnover do not on their own measure liquidity, so the author introduces a method that uses price and bid{\textendash}ask spread (not dollar volume, transactions, or turnover) as the primary inputs and extreme value theory to build the measure. The author demonstrates the method{\textquoteright}s value by its ability to successfully identify liquid stocks in emerging and frontier markets better than measures of liquidity based on volume, transaction, or turnover.TOPICS: Exchange-traded funds and applications, emerging, frontier}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/2/3/37}, eprint = {https://jii.pm-research.com/content/2/3/37.full.pdf}, journal = {The Journal of Beta Investment Strategies} }