Abdullina, MedinaMendygaliev, Kaiyrbek2024-12-202024-12-202024-12-12Abdullina, 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.https://nur.nu.edu.kz/handle/123456789/8359This 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.enAttribution-NonCommercial-ShareAlike 3.0 United Stateshigh-frequency liquidity measuresdaily liquidity proxiescorrelations.Type of access: EmbargoMEASURING HIGH- AND LOW-FREQUENCY STOCK MARKET LIQUIDITY IN A FRONTIER MARKET: THE CASE OF KAZAKHSTANMaster`s thesis