Liquidity has always been a hot spot for researchers of financial market microstructures. Analysis of liquidity is of great significance for investors and market regulators. Ultrahigh frequency data records the whole dynamic change of the trading process, so it has advantages in depicting the market microstructure. This study analyzes Asian emerging market equities liquidity using ultrahigh frequency data. We used various forms of WACD models and let trading duration be indicators of liquidity.

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... Through the residual test, we were able to select the best model to describe the overall liquidity.