We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991 … spreads, and lagged volume. During periods of financial crisis, stock and bond spreads and volume are more volatile and become …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …

We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets … markets, the bid-ask spread increases in the remaining-time-to maturity of a bond. The corporate bond spread also increases in … credit risk and the age of a bond. The municipal bond spread increases in the after-tax bond yield. Controlling for others …