run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon traders … liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time … of the liquidity black hole. …

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 …

stock liquidity. The shift in clientele also influences return properties, price discovery, and asset prices: stocks exhibit …

irrespective of firm size. Further, we find substitutability amongst the various dimensions of liquidity: while large cap stocks …