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Cited by 502

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

What Are the Best Liquidity Proxies for Global Research?

Open access
Fong, Kingsley Y L, Holden, Craig W, Trzcinka, Charles A·2017·Review of Finance
DOI 10.1093/rof/rfx003
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Abstract

Liquidity plays an important role in global research. We identify high-quality liquidity proxies based on low-frequency (daily) data, which provide 1,000× to 10,000× computational savings compared to computing high-frequency (intraday) liquidity measures. We find that: (i) Closing Percent Quoted Spread is the best monthly percent-cost proxy when available, (ii) Amihud, Closing Percent Quoted Spread Impact, LOT Mixed Impact, High–Low Impact, and FHT Impact are tied as the best monthly cost-per-dollar-volume proxy, (iii) the daily version of Closing Percent Quoted Spread is the best daily percent-cost proxy, and (iv) the daily version of Amihud is the best daily cost-per-dollar-volume proxy.

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Metadata

Authors
Fong, K. Y. L., Holden, C. W., & Trzcinka, C. A.
Venue
Review of Finance
Publisher
Oxford University Press (OUP)
Published
2017-03-13
Volume
21
Issue
4
Pages
1355-1401
ISSN
  • 1382-6662 (ISSN-L)
  • 1572-3097
  • 1573-692X
DOI
10.1093/rof/rfx003
OpenAlex
W3121425277
Cited by
502
References
2
FWCI
18.39
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: What Are the Best Liquidity Proxies for Global Research? https://app.cochat.ai/papers/10.1093/rof/rfx003
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Fong, K. Y. L., Holden, C. W., & Trzcinka, C. A. (2017). What Are the Best Liquidity Proxies for Global Research? Review of Finance. https://doi.org/10.1093/rof/rfx003

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