Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in … credit spreads. The liquidity regime seems to explain the predictive power of credit risk on the 2007-2009 NBER recession …

This study measures liquidity in the catastrophe (CAT) bond market and the liquidity premium embedded in CAT bond … the three most effective liquidity proxies. Given these three proxies, the average estimated liquidity premium in the CAT … during the period 2002-2016. The average CAT bond liquidity premium is higher than the corporate bond liquidity premium of a …

shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute … aggregate after the Big Bang, they do so less for contracts that require larger fees. Furthermore, the funding effect is …

We measure market liquidity for large-sized orders in the ten-year treasury futures market estimating mean …

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

) trading and liquidity. We find strong intraday variations in index CDS trading activities and liquidity. Unlike the U … findings improve our understanding of the trading costs and liquidity in the over-the-counter derivatives market …