effects of order imbalances on market liquidity, returns and volatility are stronger for two- and five-year notes and Treasury …. In this paper, we explore the liquidity dimension of order imbalances. Through our research, we find evidence which … indicates that order imbalances affect Treasury market liquidity. More importantly, order imbalances have significant effects on …

demonstrate that liquidity, volatility, and informed trading are each significantly positively related to spread magnitude …, indicating that speculators may dominate arbitrageurs. While spreads have narrowed as the market has matured, liquidity and …

prices and intrinsic values of companies that need to raise external capital because of insufficient internal liquidity. The …

Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an … affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration … from models of liquidity concentration and benchmark security information. After examining time series behavior of price …

In this paper, we investigate the relationship between volatility of and liquidity provision through the aggregation of …, nonmarket makers provide less liquidity when volatility is high. In contrast, market makers provide the same or more liquidity … high-frequency data on the stock index option markets of Taiwan. Strong evidence shows the different behaviors of liquidity …

-trading periods on the measurement of volatility for the S&P 500, FTSE 100, and TAIEX indices. Using an adaptation of the GJR (1 … volatility for the S&P 500 and FTSE 100 indices. On the other hand, weekends have significant impacts for the TAIEX index. Our … information continues to be produced during other types of non-trading periods. However, the weekend volatility of the Taiwan …

India's stock market returns using daily data. Our findings suggest that volatility persistence has been high; depreciation … of the rupee has increased volatility; and asymmetric volatility confirms that negative shocks generate more volatility … returns and less volatility. …

impacted the lead and volatility behavior of the futures market when the macroeconomic effects and some major economic events …. Third, we find evidence of an increase in the level of futures market volatility, implying that the quantity of information … market volatility. …