This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the … underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to … those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in …

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …

, transaction volumes and prices, and can be interpreted as liquidity measures. This approach allows us to highlight the intra …-day variations of liquidity, its costs and volatility, and to develop a liquidity based asset ordering. The extension to a … multivariate analysis yields new insights into the dynamics of portfolio liquidity by revealing various aspects of asset …

systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity …

to be the appropriate measure of size and liquidity for most non-US markets. Evidence is presented of a negative link … `ex-ante' basis, with an empirical study of the link between expected return, risk, and liquidity in a sample consisting … of the main 150 stocks quoted on the Paris Bourse between January 1986 and January 1998. Liquidity premiums are estimated …