IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v58y2022i2p483-511.html
   My bibliography  Save this article

The Comparison Study of Liquidity Measurements on the Chinese Stock Markets

Author

Listed:
  • Yang Gao
  • Wandi Zhao
  • Mingjin Wang

Abstract

The measurement of liquidity is the basis of research in market microstructure studies. Based on the intraday tick trading data on Chinese stock markets from 2009 to 2016, we run horseraces of monthly estimates of newly and widely employed low-frequency liquidity proxies in the literature against three types of bid-ask spread high-frequency benchmarks. The empirical results reveal that the closing percent quoted spread estimator has the smallest estimation error, and the FHT estimator has the highest correlation. Moreover, these two estimators win the majority of horseraces in terms of estimation error and correlation comparison with the high-frequency benchmarks. Meanwhile, we find that most liquidity estimators based on Roll’s model do not perform well. Because the performance metrics of estimation precision or correlation performance on related liquidity issues differ depending on the type of research, our study offers appropriate liquidity measures for different research purposes.

Suggested Citation

  • Yang Gao & Wandi Zhao & Mingjin Wang, 2022. "The Comparison Study of Liquidity Measurements on the Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(2), pages 483-511, January.
    • Handle: RePEc:mes:emfitr:v:58:y:2022:i:2:p:483-511
    DOI: 10.1080/1540496X.2019.1709819
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2019.1709819
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2019.1709819?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhao, Wandi & Gao, Yang & Wang, Mingjin, 2022. "Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. Dong, Liang & Yu, Bo & Qin, Zhenjiang & Lam, Keith S.K., 2024. "Liquidity risk and expected returns in China’s stock market: A multidimensional liquidity approach," Research in International Business and Finance, Elsevier, vol. 69(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:58:y:2022:i:2:p:483-511. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.