Caporale, Guglielmo Maria; Girardi, Alessandro; … - In: The Quarterly Review of Economics and Finance 52 (2012) 2, pp. 173-182
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...