For academic research purposes only.
Market-wide FX liquidity index data The market-wide FX liquidity index is obtained from principle component analysis across different liquidity measures and various exchange rates. Namely, it is constructed using price impact, return reversal, bid-ask spread, effective cost, and price dispersion as liquidity measures and the AUD/USD, EUR/CHF, EUR/GBP, EUR/JPY, EUR/USD, GBP/USD, USD/CAD, USD/CHF, and USD/JPY exchange rates.
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