*Article* **Which Liquidity Proxy Measures Liquidity Best in Emerging Markets?**

#### **Hee-Joon Ahn 1, Jun Cai 2 and Cheol-Won Yang 3,\***


Received: 12 October 2018; Accepted: 4 December 2018; Published: 11 December 2018

**Abstract:** This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets. We carry out a comprehensive analysis using tick data that cover 1183 stocks from 21 emerging markets, while also comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that the Lesmond, Ogden, and Trzcinka (*LOT*) measure is the most effective spread proxy in most emerging markets. Among the price impact proxies, the Amihud measure is the most effective.

**Keywords:** liquidity proxy; emerging market; transaction cost; price impact

**JEL Classification:** G12; G15; G20
