Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]
in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …-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 …