This study empirically investigates whether low-frequency liquidity proxies that are popular among researchers capture liquidity effectively and, if they do, which of the proxies measures liquidity best in emerging markets. We carry out a comprehensive analysis using a tick data that covers 1,183 stocks from 21 emerging markets. The use of a tick data allows us to compare various low-frequency liquidity proxies with a range of high-frequency transaction cost and price impact measures. We have several important findings. We find rich dispersion in transaction costs and price impacts across emerging markets. We also find that most of the spread proxies including Roll’s spread, LOT, and Zeros perform relatively well in emerging markets. But when the effectiveness is defined as how accurately a proxy measures actual transaction costs, LOT is most effective in the majority of the emerging markets considered in our study. When it comes to price impact proxies, the Amihud measure is clearly the most effective one with Amivest being the close second. Furthermore, certain firm and market characteristics such as turnover, return volatility, firm size, investibiity, legal origin, and trading mechanism significantly affect how accurately a proxy measures liquidity. Finally, it is important to recognize that there is no one universal proxy that captures liquidity best across different emerging markets. One that works best in most of the markets does not necessarily performs best in a specific market. Hence, it is important to know which proxy is the best liquidity proxy in a specific emerging market. In this regards, the results presented in this paper can be useful when one opts to identify the most efficient liquidity proxy in a specific emerging market.