Irodakhon, Azimova (2026) Currency Denomination and The Cross-Country Comparison of Stock Market Liquidity. American Journal of Economics and Business Management, 9 (9). ISSN 2576-5973

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Abstract

The Amihud illiquidity ratio is commonly used to compare the liquidity of the equity markets of different countries․ However‚ it is not invariant to the unit of account in which volume is measured․ The paper formalizes the problem and measures it using a hand-collected panel data set including 1‚098 firm-year observations on 100 listed firms in Uzbekistan‚ Türkiye‚ Poland and South Korea during the period 2015-2025․ Because the Amihud ratio is an absolute return and a quantity of money‚ it is in inverse currency․ The log form thus contains an exchange rate term‚ common to all firms quoted in the same market in the same year‚ to be added․ Country indicators explain 78․9 per cent of log Amihud ratio variance‚ and 79․7 per cent of log turnover variance․ By contrast‚ the share of exchange sessions with no trades and the share of zero-return days (both constructed from daily data) explain only 50․0 per cent and 46․4 per cent‚ respectively․ This additional variance is not liquidity but denomination‚ and the answer to one research question depends on the liquidity measure․ In pooled estimation‚ ownership concentration increases illiquidity on all four measures․ Adding country and year fixed effects does not change the relative advantages of these measures․ The currency-denominated measures retain a positive effect while the dimensionless measures become statistically indistinguishable from zero․ Cross-country liquidity papers should report at least one dimensionless measure alongside the currency-denominated measure since both can be constructed from the same daily data set at no additional cost.

Item Type:	Article
Uncontrolled Keywords:	Market Liquidity, Amihud Illiquidity, Measurement, Cross-Country Comparison, Emerging and Frontier Markets, Zero Returns, Trading Continuity, Uzbekistan
Subjects:	H Social Sciences
Depositing User:	admin eprints
Date Deposited:	29 Sep 2026 04:27
Last Modified:	29 Sep 2026 04:27
URI:	http://eprints.umsida.ac.id/id/eprint/17133

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