Beltran, Helena; Durré, Alain; Giot, Pierre - In: Global Finance Journal 20 (2009) 1, pp. 80-97
We analyze whether the liquidity provision in a pure order book market undergoes regime changes when volatility switches from a low state to a high state. In a five-month case study centered on the second Gulf war, we show that the contemporaneous relationship between liquidity and volatility is...