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 …

crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide … crash. In their place, slow traders provide liquidity, taking advantage of the discounted price. We thus uncover a trade …-off between the greater liquidity and efficiency provided by designated market makers in normal times, and the disruptive …

Liquidity is an important financial market characteristic, effecting portfolio decisions, and priced risk. During … understanding how liquidity differs during those periods is important. We examine how stock market liquidity was impacted by two … lot in response to small amounts of volume). Although the magnitude of the liquidity change is greater at the onset of …

This paper investigates the relationship between liquidity and stock returns in the Vietnam stock market during … listed in Ho Chi Minh City Stock Exchange, the results from the analysis indicate that liquidity positively affects stock … returns. Our results contradict previous results that liquidity is negatively correlated with stock returns as investors …

We find that stock liquidity increases stock price crash risk. To identify the causal effect, we use the decimalization … of stock trading as an exogenous shock to liquidity. This effect is increasing in a firm’s ownership by transient … accompanied by greater selling by transient investors, but not blockholders. Our results suggest that liquidity induces managers …

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 …

This study examines the impact of stock market liquidity on a stock price crash, using firm data from Borsa Istanbul … for the period 2009-2019. The results show that higher stock liquidity increases the likelihood of stock price crashes … investors, divided between institutional and individual investors, on the relation between liquidity and crash risk. The …

We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of … a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity … measures between 1999-2012. Specifically, macro-liquidity shocks, which are extracted on the meeting days of the Bank of …