In this paper, we analyse cross-sectional heterogeneity in the time-series variation of liquidity in equity markets. Our analysis uses a broad time-series and cross-section of liquidity data. We find that average daily changes in liquidity exhibit significant heterogeneity in the cross-section;...

type="main" xml:lang="en" <p>A number of futures markets use price limits which, in effect, preclude trade from occurring at prices outside certain exogenous bounds. Noting that such markets are characterized by heterogeneously informed traders, whereas previous work on price limits assumes...</p>