liquidity, especially for stocks with small market capitalization, high volatility and no listed options; (ii) slowed down price …

, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …

. The first group of firms are those with bank ownership, suggesting lower costs to banks of obtaining information and … external financing costs and liquidity constraints. Findings support the hypothesis of greater investment sensitivity to … liquidity constraints, as well as increased investment sensitivity over time, for the group of independent firms. …

prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its … own. There is evidence that liquidity squeezes occasionally occur and short banks pay more the larger is the potential for …

We describe a new mechanism that explains the transmission of liquidity shocks from one security to another ("liquidity … precise information, a drop in liquidity for one security raises the uncertainty for dealers in other securities, thereby … affecting their liquidity. The direction of liquidity spillovers is positive if the fraction of dealers with price information …

analyze transaction prices of major U.S. investment and commercial banks prior to and after the bankruptcy. By decomposing …