We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

. We exploit this quasi{ natural experiment to investigate the impact this change had on liquidity and trading behavior …

We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management … the liquidity risk arising from the buying and selling of a position. With the use of BLM we show, how to integrate … liquidity risk into the VaR-framework. While our method has already been introduced, it has never been tested on the Hungarian …

The Budapest Liquidity Measure (BLM) was created by the Budapest Stock Exchange (BSE) in 2005 to provide the market … securities and the entire market is at the moment. Liquidity is calculated as the sum of the adverse price movement created by … the transaction of the investors and the liquidity premium to be paid for the transaction. These two factors together are …

categories of firm. Some of the changes in returns reflect changes in liquidity, while the remainder reflect adjustments to the …

rate cuts, to ease the liquidity crunch in the financial markets following the collapse of Lehman Brothers. Using high … the 2008 global financial turmoil, this study examines the variations of intraday funding liquidity across the global … undertaken by central banks affect the dynamics of market liquidity conditions. Similar to Hui et al. (2009), the paper uses the …

markets with South Africa as the central hub motivated by a wish to attract foreign investment and increase liquidity. However …, little attention has been paid to issues regarding migration of liquidity and loss of the price discovery mechanism in a … market to be fully integrated with South Africa. Several established liquidity constructs are compared to determine their …