|Percentage Bid-Ask SpreadCannon and Cole (2011), Bhasin et al. (1997)
||(Askit – Bidit) / [(Askit + Bidit / 2)]
||Unveils the percentage trading cost by linking the spread’s size towards share price. Smaller values designate higher liquidity.
|Turnover RatioAmetefe, Devaney & Marcato (2015),Amihud and Mendelson (1986),Constantinides (1986)
||TR = Volit /(Sit*Pit)Vol is the transaction volume for ith REIts at time t, Sit is the number of share outstanding and Pit is the average price of for ith REITs
||Unveils the capacity of the REITs to be transacted within a specified time period based on outstanding value .The higher the turnover ratio, the more liquid is the asset/market
|Dollar VolumeCannon and Cole (2011) ,Benveniste et al. (2001)
||DV =Volit x PitVol is the transaction volume for ith REIts at time t, Pit is the average price for ith REITs
||Unveil REITs capacity to be traded (sell/buy transaction without causing larger price movements). Larger values of DV specify larger market depth with higher liquidity.