MEASURING HIGH- AND LOW-FREQUENCY STOCK MARKET LIQUIDITY IN A FRONTIER MARKET: THE CASE OF KAZAKHSTAN
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Date
2024-12-12
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Publisher
Nazarbayev University Graduate School of Business
Abstract
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.
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Keywords
high-frequency liquidity measures, daily liquidity proxies, correlations., Type of access: Embargo
Citation
Abdullina, M. Mendygaliev, K. (2024). Measuring high- and low-frequency stock market liquidity in a frontier market: the case of Kazakhstan. Nazarbayev University Graduate School of Business.