We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

categories of firm. Some of the changes in returns reflect changes in liquidity, while the remainder reflect adjustments to the …

markets with South Africa as the central hub motivated by a wish to attract foreign investment and increase liquidity. However …, little attention has been paid to issues regarding migration of liquidity and loss of the price discovery mechanism in a … market to be fully integrated with South Africa. Several established liquidity constructs are compared to determine their …

Exchanges and shows that competition among exchange platforms does not have a negative effect on the level of liquidity of …

liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign …

This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices … impediments are absent, abnormal returns persist. Using a new measure of liquidity, we find that liquidity is economically and …

well as on consolidated liquidity of French blue chip equities, newly tradable on Chi-X. Our findings suggest that owing to … this new competition the home market's liquidity has enhanced. This is apparently due to the battle for order flow which … results in narrower spreads and increased market depth. These results imply that overall liquidity in a virtually consolidated …

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in … test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced … yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our …