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 …

We study in this work the liquidity, defined as the size of the trading volume, in a situation when an infinite number …

We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our results generalize …

mainly due to substantial returns that investors made. However, literature exposes that poor liquidity is one of the main … the liquidity of emerging markets and their effects on the contagion from one another in order to prevent illiquid events … or systemic risk. Emerging market liquidity measures are the basis for the sovereign debt market, the deviations of the …

-day variations of liquidity, its costs and volatility, and to develop a liquidity based asset ordering. The extension to a …, transaction volumes and prices, and can be interpreted as liquidity measures. This approach allows us to highlight the intra … 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 …

information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the … capitalizations. However, our empirical study emphasizes an inefficiency of the reservations of quotation. Indeed, the volatility of …

shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …