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 …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange ….28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

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 …

dimensions: price, volatility and liquidity. By comparing the Garman-Klass volatilities of bitcoin spot and futures prices with … those of different assets, we find that both the bitcoin spot and futures markets exhibit relatively high volatility … compared to other assets. When the ratio of trading volume over open interest is used to measure liquidity, the bitcoin futures …

cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government … imposes CTT, it would lead to higher volatility and lower trading activity affecting market efficiency and liquidity. However … taxes is to contain price rise and volatility, to generate revenue, and to increase transparency, these arguments are …

) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility …We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2 … crisis, accompanied by increased price volatility, but that trading activity seems unaffected until after the Lehman Brothers …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …

and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little …