For academic research purposes only.

“Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums”

 

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.