algorithms are documented that can be rectified by recognizing that the impact on liquidity is the fundamental characteristic … underlying order placement. Although this liquidity-based method is difficult to implement, it more closely captures the actual …

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

surprises, which suggests that private information does not hinder CDS liquidity. …

and market liquidity are different in each market design. We test these predictions using a natural experiment. As of …

paper evaluates the impact of dark trading and fragmentation in visible order books on liquidity. We consider global … liquidity by consolidating the limit order books of all visible trading venues, and local liquidity by considering the … traditional market only. We find that fragmentation in visible order books improves global liquidity, whereas dark trading has a …

This study investigates the dynamics of stock market liquidity in the energy industry in the US for 130 firms for the … liquidity measures, namely turnover, price impact and spread. In addition, we account for oil prices in this model. The … liquidity measures exhibit a persistent (highly autocorrelated) pattern. The intensity of trading appears to be relevant for the …

messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an …. Negative messages are associated with higher adverse selection costs than positive or neutral messages. Liquidity increases …

This article aims to highlight the implications of liquidity crises in the context of emerging capital market. Capital … markets, and especially emerging capital market appear to behave notably differently during periods of liquidity crises in … in terms of liquidity. It has been empirically demonstrated that emerging capital market are rarely efficient, or in the …

slightly higher stock return volatility and a small reduction in liquidity when naked short sales are allowed. Overall, it … impairs market quality (liquidity and volatility), although there appears to be some improvement in price efficiency in stocks …

We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that … test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical … studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling …