We consider a financial market with liquidity cost as in Cetin, Jarrow and Protter [3] where the supply function S …

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 …

their poor liquidity, which often translates into an inherent smoothing process of the returns. For asset allocation …

, 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 …