This study examines the dynamic liquidity provision process by institutional and individual traders in the Taiwan index futures market, which is a pure limit order market. The empirical analysis obtains several interesting empirical results. We find that trader type affects liquidity provision...

Using financial ETFs from various financial industries, we set out in this study to explore the relationship between funding liquidity and equity liquidity. We measure funding liquidity from the interbank as well as the collateral markets and examine how funding liquidity affects bid-ask spread,...