Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc … grounds. In this paper we propose a welfare-based denition of liquidity and characterize its relationship to the usual proxies … intermediaries pursue prot opportunities by providing intermediation services (i.e. "liquidity") in exchange for an endogenous fee …

identical, implying that the concentration of liquidity in one asset is socially desirable. At the same time, too many buyers …

We show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market … liquidity worsen when the economy is slowing down, and this effect is most pronounced for small firms. Using data for both the … US and Norway, we find strong evidence that stock market liquidity predict the current and future state of the economy …

We investigate the information content of aggregate stock market liquidity and ask whether it may be a useful realtime … indicator, both for financial stress, and real economic activity in Norway. We describe the development in a set of liquidity …, showing how market liquidity and trading activity changed for the whole market as well as for individual industry sectors. We …

We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange … consistent with liquidity provision. …

links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown to be important … between liquidity and asset prices found in numerous empirical studies cannot be explained by models such as Amihud and …

We analyze the relationship between the long term development in liquidity at the Oslo Stock Exchange and the Norwegian … economy for the period 1980 to 2007. We calculate different liquidity measures that captures various dimensions of liquidity … over time and across industry groups. Overall, we find that the liquidity at the OSE has improved over the sample period …

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume … the existing metrics on welfare grounds. In this paper we propose a welfare-based denition of liquidity and characterize … intermedia- tion services (i.e. \liquidity") in exchange for an endogenous fee. Our model is well suited to study the contagion …

sampling frequency of the data; iii) volatility, the limit order book, and liquidity, in terms of tightness, depth, and … empirical evidence about stock market volatility, liquidity, limit order books, and market frictions, and provides a natural …