Browsing by Author "Mendygaliev, Kaiyrbek"

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    MEASURING HIGH- AND LOW-FREQUENCY STOCK MARKET LIQUIDITY IN A FRONTIER MARKET: THE CASE OF KAZAKHSTAN
    (Nazarbayev University Graduate School of Business, 2024-12-12) Abdullina, Medina; Mendygaliev, Kaiyrbek
    This paper investigates the relationship between high-frequency and low-frequency liquidity measures in a frontier market, specifically Kazakhstan. Using one year of trade and quote data from two exchanges – the Astana International Exchange (AIX) and the Kazakhstan Stock Exchange (KASE) – covering eight and nine stocks, respectively, we find that Abdi Ranaldo's daily liquidity measure emerges as the most effective low-frequency proxy for intraday liquidity in this frontier market.