more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, 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 …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

. The stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed … about them. For example, liquidity one year after the pick day remains higher for these stocks than for a sample matched … according to size, book-to-market value, and liquidity in the preceding year. In addition, after controlling for fundamental and …