The relationship between trading activity, volatility and transaction cost using a three-equation structural model for …

prices and intrinsic values of companies that need to raise external capital because of insufficient internal liquidity. The …

particular reference to how short sales may enhance informational efficiency and their relationship with liquidity. The paper … may be desirable on the Maltese stock market for enhancing price efficiency and liquidity, yet a more formal framework for … stock market, due to low liquidity levels. …

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 …

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the … scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations … between financial institutions to market participants that bear new liquidity risk on the market associated with collateral …

-related factors incorporating price jumps, volatility jumps, and liquidity (along with the market) explains the cross sectional …

imbalance, and order volatility. There is new evidence that higher algorithmic trading leads to lower intraday liquidity risk …-in-difference regression to estimate causal impact. We find that securities with higher algorithmic trading have lower liquidity costs, order …