-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and … trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading …

structure. We highlight the role played by order toxicity in affecting liquidity provision, and we show that a measure of this … in the hours and days prior to collapse. Since the ‘flash crash' might have been avoided had liquidity providers remained …

We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a … composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding … liquidity and market liquidity, are positively associated with comovements between commodity and stock markets after 2000 …

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 … significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage …

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 … significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage …