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| Tekijä: | Lesmond, D.A. |
| Otsikko: | Liquidity of emerging markets |
| Lehti: | Journal of Financial Economics
2005 : AUG, VOL. 77:2, p. 411-452 |
| Asiasana: | emerging markets liquidity |
| Kieli: | eng |
| Tiivistelmä: | Emerging markets are characterized by volatile, but substantial returns that can easily exceed 75% per annum. Balancing these lofty returns are liquidity costs that, using the bid-ask spread as basisi, range from 1% for the Taiwanese market to over 47% for the Russian market. However, the paucity of bid-ask spread information across countries and time requires the use of liquidity estimates in emerging markets even though little is known about the efficacy of these estimates in measuring bid-ask spread costs. Using company-level quoted bid-ask spreads as a basis, it is found that price-based liquidity measures of Lesmond et al. (1999) and Roll (1984) perform better at representing cross-country liquidity effects than do volume based liquidity measures. |
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