We study price and liquidity spillovers in U.S. stock markets around mutual fund fire sales. We find that the well … liquidity and are not explained by common funding shocks or the hedging activity of liquidity providers. We conclude that they … the commonality in returns and liquidity …

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and … ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that …

We examine price discovery and liquidity provision in the secondary market for bitcoin-an asset with a high level of … volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in …

of fragmentation on liquidity and welfare di↵ers with asset volatility: when volatility is high (low), liquidity and …By employing a dynamic model with two limit order books, we show that fragmentation is associated with reduced … competition among liquidity suppliers and lower picking-o↵ risk of limit orders. Due to these countervailing channels, the impact …