Jain, Ravi (contributor); Xia, Yihong (contributor); … - 2004
stock i at month t in
country c, IL
i,c,t
, is defined as
IL
i,c,t
=
1
D
t
D
t
summationdisplay
d=1
|R
i,d
|/VOL
i,d
, (3 … observations during the sample period.
13
month:
AIL
c,t
=
1
N
c,t
N
c,t
summationdisplay
i=1
IL
i,c,t
, (4)
where N
c,t
is the …