Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]
-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …
