hard · Market Microstructure
A trader evaluates two stocks over three days to determine their 'Amihud Illiquidity Ratio'. Stock A: |r| = 0.01, Vol = 10M;|r| = 0.02, Vol =20M; |r| = 0.015, Vol = 15M. Stock B:|r| = 0.01, Vol =5M; |r| = 0.01, Vol = 5M;|r| = 0.01, Vol =5M. Which stock is more liquid according to the average ratio?
- They are equally liquid
- Stock B
- The ratio cannot be determined
- Stock A
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