A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity … liquidity measure based on weighted average bid-ask spread is established.Using this liquidity measure, an elementary liquidity … algebra is possible: from the estimation of the execution cost, the liquidity of a basket of instruments is obtained. A …

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

Financial crises are often characterized by sharp reductions in liquidity followed by cascades of falling prices …. Researchers are making progress in work to understand the levels of liquidity on a daily basis, but understanding the … vulnerability of liquidity to market shocks remains a challenge. We develop an agent-based model with the objective of evaluating …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …

We study the role of various trader types in providing liquidity in spot and futures markets based on data from the … overnight are the primary liquidity providers in both spot and futures markets. We have two crashes in our sample, both … in both markets. Market stability may require the presence of well-capitalized standby liquidity providers for recovery …

appeal to these investors. The effect of the widened liquidity gap on transactions costs is further amplified by a surge in … the price liquidity providers charge for access to their balance sheets in the crisis …