What Are the Best Liquidity Proxies for Global Research

By Kingsley Y. Fong, Craig W. Holden, Charles Trzcinka. 2017

444 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/79e8417cdd0fb89bf0692b7830b631c3e47d09e6

Citations in the corpus

• The Illiquidity Premium: International Evidence (2015, unknown): “Fong, Holden, and Trzcinka (2011) find that across countries, Illiq is highly and significantly correlated with Kyle’s (1985) price impact measure, consistent with earlier findings for the U.S. by Amihud (2002), Hasbrouck (2009), and Goyenko, Holden, and Trzcinka (2009).”