In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …

volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order …: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … uncertainty with liquidity, we specify a simple market where a monopolist financial intermediary makes a market for a propriety … liquidity. Our infinite-horizon example produces short, dramatic decreases in liquidity even though the underlying environment …

trading risk, and liquidity risk, the arbitrage opportunity between the two markets would not be exploited promptly. This … determining asset prices, which makes us to empirically investigate the comovement effect, as well as liquidity risk. With regards … display significant impact on the ADRs’ price differentials. Secondly, we analyze the liquidity effect on the Chinese ADRs and …

We study the determinants of liquidity and price differentials between on-the-run and off-the-run U.S. Treasury bond … of these shocks on both off/on-the-run price and liquidity differentials in the presence of two realistic market … implications by analyzing daily differences in market liquidity and yields for on-the-run and off-the-run three-month, six …

equilibrium market liquidity, and that the magnitudeof this effect is sensitive to the market’s information environment. We test …-the-run Treasury securities decline on days when POMOs are executed; and ii) POMOs’ positive liquidity externalities are increasing in … proxiesfor information heterogeneity among speculators, fundamental volatility, and policy uncertainty, consistent with our model. …

asset. We interpret this devia- tion as a liquidity effect and develop a new liquidity measure quantifying the price … dispersion in the context of the US corporate bond market. This market offers a unique opportunity tofstudy liquidity effects … transaction prices and the expected market valuation of securities. We quantify and analyze our new liquidity measure for this …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … neither accompanied by higher liquidity/price efficiency nor by persistent abnormal returns of continuously listed stocks upon … transfers. The third part demonstrates that continuous trading became more attractive and liquidity in this system increased due …

partially explained the performance of neglected firms. Neglect and price may be proxies for the liquidity of each firm's stock …, and the higher observed returns may actually be a premium for the lack of liquidity. This paper compares two definitions … of neglect and their relationship with liquidity. When neglect is measured by the number of analysts following a stock …