of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

-Markov decision process, and compute the semi-Markov kernel using Laplace method in the language of queueing theory. The optimal …

fragmentation, the resulting implications for liquidity and price efficiency, and the role for public policy. Beyond the concerns …

. However, the liquidity of stock on the market is its essential characteristic. The inflow of information in highly liquid … stock markets, including their liquidity. The impact of the pandemic is so multidimensional that there are still areas that … need to be investigated. One of them is the intraday liquidity patterns on the stock markets. Therefore, the present paper …

We study the effect of block shareholding on stock liquidity using panel models for 128 stocks from the period 2011 to … significant negative effect on liquidity. Ownership structure models indicate that block shareholding by Government has a negative … effect on liquidity. However, we do not find any statistically significant effects due to block shareholding by individuals …

jumps is associated with public information releases, whereas majority of them is motivated by liquidity shocks observed in … absorb new and big orders. Liquidity shocks in quoted spread, volume and number of trades are the key drivers causing the … occurrence of the jumps. Finally, the introduction of faster and more efficient trading system enhanced the impact of liquidity …

activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and … the cross-sectional variation in stock liquidity at a more detailed level. Originality/value - The originality of the … paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since …