MEASURING HIGH- AND LOW-FREQUENCY STOCK MARKET LIQUIDITY IN A FRONTIER MARKET: THE CASE OF KAZAKHSTAN

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dc.contributor.authorAbdullina, Medina
dc.contributor.authorMendygaliev, Kaiyrbek
dc.date.accessioned2024-12-20T09:39:39Z
dc.date.available2024-12-20T09:39:39Z
dc.date.issued2024-12-12
dc.description.abstractThis 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.
dc.identifier.citationAbdullina, 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.
dc.identifier.urihttps://nur.nu.edu.kz/handle/123456789/8359
dc.language.isoen
dc.publisherNazarbayev University Graduate School of Business
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 United Statesen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/us/
dc.subjecthigh-frequency liquidity measures
dc.subjectdaily liquidity proxies
dc.subjectcorrelations.
dc.subjectType of access: Embargo
dc.titleMEASURING HIGH- AND LOW-FREQUENCY STOCK MARKET LIQUIDITY IN A FRONTIER MARKET: THE CASE OF KAZAKHSTAN
dc.typeMaster`s thesis

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