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 …

This study compares liquidity costs of electronic and open-outcry wheat futures contractstraded side-by-side on the … Kansas City Board of Trade. Liquidity costs are considerablylower in the electronic market. Liquidity costs in the electronic ….Price volatility and transaction size are positively related to liquidity costs, while a negativerelation is found between daily volume …

This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat … futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market … than in the open outcry market. A new approach is used to estimate liquidity costs which eliminates bias resulting from …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets like the … uncertainty with liquidity, we specify a simple market where a monopolist financial intermediary makes a market for a propriety …

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 …

volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order …

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 …

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 …