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- How to calculate Amihud's Illiquidity?

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02-07-2013 02:44 PM

Hi

I am new here.

I need to calculate Amihud's illiquidity and so far the result seems to be the opposite of what it should be. Returns are increasing with more liquidity instead of with less.

That's the code I am using. Any idea why I am failing?

data illiquid;

set DailyCRSPData;

ratio=1000000*abs(ret)/(abs(prc)*vol);

year=year(date);

month=month(date);

where vol > 10 and ret ne . and ret ne 0 and prc > 5;

run;

proc sort data=illiquid; by permno year month; run;

proc means data=illiquid noprint;

var ratio ret;

by permno year month;

output out=illiquid1 mean=illi ret1;

run;

proc corr data = illiquid1;

var ret1 illi;

quit;

Thank you so much

Duncan

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02-24-2014 08:32 PM

Did you ever figure out the Amihud measure? Is it just absolute values in the denominator?

Thanks,

Zach