We examine the impact of US economic news releases
in the liquidity of eleven not so extensively researched emerging stock
markets. We employ ten liquidity measures. The sample begins from June 2007 up
to December 2016. Analysis is performed in a weekly frequency. China is the
least liquid Asian market. Peru is the most liquid Latin American market. Most
of the emerging markets are positively affected by the US news, offering diversification
benefits to international investors. India
and Argentina (China and Chile) are the Asian and Latin American countries with
the highest (lowest) impacts, respectively. There
is not a single best-in-class liquidity measure. The country with the lowest
liquidity has the lowest impact from the US news releases. This result holds
for both groups of countries in Asia and Latin America.
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