We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a...

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and...

Remarks at Cornell University, Ithaca, New York.

Remarks at the University of Rochester, Rochester, New York.

Remarks at the Washington and Lee University H. Parker Willis Lecture in Political Economics, Lexington, Virginia.

Remarks at the Quarterly Regional Economic Press Briefing, New York City.

Remarks at the New College of Florida 44th Annual Commencement, Sarasota, Florida.

Remarks at the at the Society of American Business Editors and Writers Fall Conference, City University of New York, Graduate School of Journalism, New York City.

Remarks at the University at Buffalo, Buffalo, New York.