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Which liquidity proxy measures liquidity best in emerging markets?

Ahn, Hee-Joon; Cai, Jun; Yang, Cheol-Won - In: Economies 6 (2018) 4, pp. 1-29

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...

Persistent link: https://www.econbiz.de/10012009858

Tick size change and liquidity provision on the Tokyo stock exchange

Ahn, Hee-joon; Cai, Jun; Chan, Kalok; Hamao, Yasushi - In: Journal of the Japanese and international economies : … 21 (2007) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10003496570

Little Guys, Liquidity, and the Informational Efficiency of Price : Evidence from the Tokyo Stock Exchange on the Effects of Small Investor Participation

Ahn, Hee-Joon - 2005

This paper provides an analysis of the equity-market effects of a substantial increase in individual shareholder participation in the market for a firm. The data are based on reductions in lot sizes or Minimum Trade Units (MTUs) on the Tokyo Stock Exchange (TSE). There is a shift in order flow...

Persistent link: https://www.econbiz.de/10012736723

Tick size change and liquidity provision on the Tokyo Stock Exchange

Ahn, Hee-Joon; Cai, Jun; Chan, Kalok; Hamao, Yasushi - In: Journal of the Japanese and International Economies 21 (2007) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10005377370

Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange

Ahn, Hee-Joon; Cai, Jun; Hamao, Yasushi; Ho, Richard Y.K. - In: Journal of Banking & Finance 29 (2005) 6, pp. 1483-1508

Persistent link: https://www.econbiz.de/10005213485

Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong

Ahn, Hee-Joon; Cai, Jun; Cheung, Yan Leung - In: Journal of Financial Markets 8 (2005) 4, pp. 421-451

Persistent link: https://www.econbiz.de/10005320026

The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange

Ahn, Hee-Joon; Cai, Jun; Hamao, Yasushi; Ho, Richard Y. K. - In: Journal of Empirical Finance 9 (2002) 4, pp. 399-430

Persistent link: https://www.econbiz.de/10005152470

Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange

Ahn, Hee-Joon; Cai, Jun; Hamao, Yasushi; Ho, Richard Y.K. - In: Journal of banking & finance 29 (2005) 6, pp. 1483-1508

Persistent link: https://www.econbiz.de/10005881592

Tick size change and liquidity provision on the Tokyo Stock Exchange

Ahn, Hee-Joon; Cai, Jun; Chan, Kalok; Hamao, Yasushi - In: Journal of the Japanese and international economies : … 21 (2007) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10007730223

Do informed traders trade more when the market is thick? : evidence from the Nikkei 225 index redefinition of April 2000

Ahn, Hee-joon; Cai, Jun; Chung, Jay M. - In: Asia-Pacific journal of financial studies 39 (2010) 4, pp. 495-523

Persistent link: https://www.econbiz.de/10009958520