Amihud illiquidity ratio

area: Asset pricing and risk · 0 papers in the last 7 days

\mathit{ILLIQ}_i = \frac{1}{D_i}\sum_{d=1}^{D_i}\frac{\lvert R_{id} \rvert}{\mathit{DVOL}_{id}}

Average absolute daily return per dollar of trading volume: the price impact of trading.

LaTeX: \mathit{ILLIQ}_i = \frac{1}{D_i}\sum_{d=1}^{D_i}\frac{\lvert R_{id} \rvert}{\mathit{DVOL}_{id}}

Names searched for: Amihud illiquidity, Amihud's illiquidity, Amihud measure, Amihud's measure, Amihud ratio

Key findings

Amihud illiquidity ratio was mentioned in 4 papers in the last 30 days (2026-09-27 to 2026-10-26), ranking #82 of the 104 equations and models mentioned.
By journal category: Finance (4).
Most of them appeared in The North American Journal of Economics and Finance (1), Pacific-Basin Finance Journal (1) and Borsa Istanbul Review (1).
Often mentioned together with Ordinary least squares (OLS) (2), Two-way fixed-effects panel regression (2) and Herfindahl-Hirschman index (1).
Datasets named in the same papers: Marketization index (Fan Gang) (1), Living Standards Measurement Study (LSMS) (1) and TRACE (1).

Papers mentioning Amihud illiquidity ratio, newest first.
Date	Title	Journal	Authors	Affiliations
2026-10-12	Liquidity stress as an episodic process: Entry, persistence, and exit dynamics	The North American Journal of Economics and Finance	Hakan Bal	Beykent University
2026-10-01	Does generative AI improve price discovery? Evidence from China’s investor platforms: A pre-registered report	Pacific-Basin Finance Journal	Yingshuang Tan, Wei Song	Chongqing University
2026-10-01	Reopening is not Recovery: Institutional Hysteresis in the Libyan Stock Market	Borsa Istanbul Review	Suliman Alshahmy, Charilaos Mertzanis	Heriot-Watt University Dubai; Libyan Academy; Abu Dhabi University
2026-09-29	The price of ethics: Liquidity and safe haven properties of responsible physical gold ETPs	Research in International Business and Finance	Borja Amor Tapia, Paula Castro, María Teresa Tascón Fernández	Universidad de León