RT Journal Article
SR Electronic
T1 Revamping Liquidity Measures: <em>Improving Investability in Emerging and Frontier Market Indices and Their Related ETFs</em>
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 37
OP 43
DO 10.3905/jii.2011.2.3.037
VO 2
IS 3
A1 Andrew Clark
YR 2011
UL https://pm-research.com/content/2/3/37.abstract
AB 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–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’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