Chung, Kee H.; Chuwonganant, Chairat - In: Journal of Financial Economics 113 (2014) 3, pp. 476-499
(VIX)] exerts a large market-wide impact on liquidity, which gives rise to co-movements in individual asset liquidity. The … effect of VIX on stock liquidity is greater than the combined effects of all other common determinants of stock liquidity. We … show that the uncertainty elasticity of liquidity (UEL: percent change in liquidity given a 1% change in VIX) has increased …