Purpose – The specific criteria to the microstructure of emerging markets such as low liquidity, very pronounced … asymmetric information, and high volatility affect the risk market. Previous researchers have concluded that the calculation … market improvement in the performance of adjusted VaR. Indeed, models for measuring the VaR adjusted to liquidity and to …

trading strategies based on the underlying liquidity and volatility of hospitality REITs as compared traditional REITs and the … broader market. Design/methodology/approach The paper uses established microstructure measures for liquidity, trading volumes … liquidity measures post-crisis. The results of the study highlight the differences in trading volumes, liquidity and risk …

market quality variables, such as liquidity (bid‐ask spread and price impact), daily and intraday volatility and trading … and orders from the exchange. Findings The evidence suggests that X‐Stream improved the liquidity and trading activity and … reduced the volatility of the overall market, especially of the most liquid stocks. Practical implications These results …

Purpose The relationship between short selling, market volatility and liquidity remains an object of intensive research … paper aims to contribute to the debate by investigating the impact of short selling on market volatility and liquidity in …-level elements to provide a more comprehensive understanding of the impact of short selling on market volatility and liquidity …

analysis was also applied by controlling for factors that might influence valuation, liquidity, and volatility. The standard … market liquidity deteriorated following the relaxation of the price floor. Third, the price volatility increased in the post … liquidity and volatility in an emerging market, given that a majority of research on trading halt/price limits is based on …