My study related impact reduce tick size towards liquidity. Im having a problem in collecting the intraday data especially number shares traded at bid and ask price. Thus, i decided to change it instead spread and depth since its very hard for me to compile the data. I had asked Thomson Reuters, however they don't sell it to individually and its costing around usd2000-3000. Therefore i decided to change it into daily data. Please suggest me proxy to liquidity using daily data. Thanks for the idea.
Your question is thoroughly answered here:
Goyenko, R. Y., Holden, C. W., & Trzcinka, C. A. (2009). Do liquidity measures measure liquidity?. Journal of financial Economics, 92(2), 153-181.
and one more recent way is also here:
Corwin, S. A., & Schultz, P. (2012). A simple way to estimate bid‐ask spreads from daily high and low prices. The Journal of Finance, 67(2), 719-760.
Dear Diana Baharuddin
Greetings,
Please find the attached file very related for your topic
Best Regards
Thank you so much for answering my question. I will look at your suggestion. Thanks again
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