. Theory predicts this technological advantage should translate into market-wide liquidity co-variation, by transmitting … information-based liquidity shocks. Using a dataset of orders and trades from the French stock market, we investigate whether HFT … algorithms constitute a source of systematic liquidity risk. We demonstrate that, across securities, the liquidity offered by …

to proxy illiquidity. We show that transaction costs were low and comparable to today's costs. Liquidity was negatively … correlated with active informed trading, particularly being low for small and distressed stocks and in crises times. Liquidity …

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …

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 …

-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) market liquidity model, this paper: (i) reports a … significant relationship between market liquidity and investor sentiment, (ii) shows that market liquidity (illiquidity …) negatively (positively) predicts subsequent market returns, (iii) provides market liquidity based explanation to the …

and book-to-market value, we investigate whether liquidity plays a role in pricing Polish stocks. To test this conjecture … we use the largest array of liquidity measures that has been used in the literature to date. We take advantage of a hand … markets, we do not find convincing evidence in favour of the liquidity risk premium on the Polish stock market. This result is …