We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on … Order Expectations (HOEs) about the two factors that influence the aggregate demand: fundamentals information and liquidity … HOEs about fundamentals are subdued, prices under-rely on public information, the market hovers in a high liquidity state …

documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities …

impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …

frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …