-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) market liquidity model, this paper: (i) reports a … significant relationship between market liquidity and investor sentiment, (ii) shows that market liquidity (illiquidity …) negatively (positively) predicts subsequent market returns, (iii) provides market liquidity based explanation to the …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

liquidity by quickly turning stocks into cash. We propose a trading model in which these two roles are endogenously related …: more intensive use of stocks for liquidity affects both the information and the noise about fundamentals contained in … banking system has trouble providing liquidity. We incorporate this module into a dynamic general equilibrium model to study …

turmoil. To achieve this, we examine the liquidity and crash risk of stocks that are likely held by Robinhood traders (i …. During the COVID-19 pandemic, we find that stocks likely held by retail investors have 17 percent higher liquidity and at …

. We exploit this quasi{ natural experiment to investigate the impact this change had on liquidity and trading behavior …

This paper provides original evidence on the relation between herd behavior and equity market liquidity, an issue that … initially we find no evidence of herding. When, however, we condition on the daily liquidity of stocks we find significant … evidence of herd behavior for days with high or medium stock liquidity, for all countries and the majority of the sub …

base and improves stock liquidity. The results are robust to the control of endogeneity issues …

This study examines the dynamic liquidity provision process by institutional and individual traders in the Taiwan index … find that trader type affects liquidity provision in a number of interesting ways. First, although institutional traders …