This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans …

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …