absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how … liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on … the current price and followed by high volatility. The relationship is robust to the inclusion of several alternative …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory … support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and … of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market …

financial markets liquidity. -- market liquidity ; trading volume ; bid-ask spread ; intraday price volatility ; index futures …In this study, we examine the relations between the three keys variables of liquidity such as trading volume, bid …-ask spread, and intraday price volatility. Hausman’s (1978) tests of specification confirmed that trading volume, bid-ask spread …

We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … futures market, but rather interacts with price risk, liquidity risk, and the risk aversion of the market maker. The … liquidity link between spot and futures markets. Our results provide no evidence in favor of the substitution hypothesis. …