Kang, Wenjin; Zhang, Huiping - In: Pacific-Basin Finance Journal 27 (2014) C, pp. 49-71
We propose a modified version of the Amihud illiquidity measure, AdjILLIQ, which performs well in different types of emerging markets. Our AdjILLIQ measure combines the virtues of the original Amihud ratio and the non-trading-frequency measure. It exhibits higher correlation with spread and...