The Global Liquidity Database
These global data have been compiled with the help of my colleague, Diego Agudelo. These data are free for non-commercial use, but without warranty. Please reference the source as www.samhenkel.com/data. Send me an email if you see something unusual or interesting.
Description of the Liquidity Measures
The data are based on the research of my mentors, coauthors, colleagues, myself and others. For complete descriptions of the theoretical motivation, please see the original works. Some of these works include:
Amihud, 2002, Journal of Financial Markets
Bekaert, Harvey and Lundblad, forthcoming, Review of Financial Studies
Holden, Goyenko, Trzcinka, and Lundblad, 2006
Lesmond, Ogden and Trzcinka, 1999, Review of Financial Studies
Lesmond, Schill and Zhou, 2003, Journal of Financial Economics
Lesmond, 2005, Journal of Financial Economics
Pastor and Stambaugh, 2003, Journal of Political Economy
Roll, 1984, Journal of Finance
U.S. Liquidity Data
from CRSP
US Liquidity Aggregates.xls (340KB, unzipped)
US Liquidity_Firm_Level.xls (data not yet released)
U.S. Liquidity Data is also available from Joel Hasbrouck and from Lubos Pastor and Robert Stambaugh and, separately, from Ronnie Sadka in the WRDS Fama-French, Momentum and Liquidity database.
Global Liquidity Data (data not yet released)
from Thomson Financial’s Datastream and from Bloomberg
Click on the thumbnails for larger pictures (133KB and 51KB, unzipped)
About the Global Liquidity Database:
Agudelo, Henkel, Holden and Trzcinka, 2008
Related Research:
Henkel, Jain and Lundblad, 2008 (in progress) Global Liquidity -
Exchange Level.xls
(120 Exchanges, data not yet released) Global Liquidity - Country Level.xls
(71 Countries, data not yet released) Here is a look at a sample of
the raw input data structure:
Raw Data Structure.xls
(105KB, unzipped) Links to coauthors with research on market liquidity Links to other coauthors