This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …

book trades, the realized spreads (the revenue earned by the suppliers of liquidity) is significantly larger. The cost …

differences of opinion is left, and hence volatility is decreased. …

structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and …

liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took … examines the liquidity of the secondary market for four German benchmark government bonds during this period. The analysis is … bonds in Germany. This feature is particularly attractive for the bond market, where OTC transactions account for most …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …

allows us to obtain an estimator of the conditional volatility per time. this kind of volatility estimation solves the …