Rösch, Christoph G.; Kaserer, Christoph - In: Journal of Banking & Finance 37 (2013) 7, pp. 2284-2302
We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume …-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a … positive relation between market and liquidity risk. Moreover, this relationship is the stronger the deeper one digs into the …