We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

We develop a model where banks invest in reserves and loans, and face aggregate liquidity shocks. Banks with liquidity … financial stability. The structure of liquidity shocks affects the severity and the occurrence of crises, as well as the amount …

prevent a 'run' on financial intermediation by injecting liquidity when asset values fall significantly. The inflationary side … a central bank to inject liquidity in a crisis. …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …