surprises, which suggests that private information does not hinder CDS liquidity. …

number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key … element is missing: liquidity also depends on (3) an asset s correlation with other securities. For example, if an illiquid … security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …

. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity, and thereby market quality …

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility …, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using … data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are …

This paper explores liquidity effects following the merger and acquisition between Al Salam Bank Bahrain and a … conventional bank post the financial crises. We find evidence of a sustained increase in the liquidity of the stocks as a result of … the change from Conventional to Islamic banking. The empirical findings are consistent with the information cost/liquidity …

In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order … behave opposite to proprietary algorithmic traders by reducing supply of liquidity during stress situations. We also document …

In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order … market. We find that they rarely use liquidity removing market orders. Their ability to affect the bid-ask spread with order …

Does trader leverage drive equity market liquidity? We use the unique features of the margin trading system in India to … identify a causal relationship between traders' ability to borrow and a stock's market liquidity. To quantify the impact of … trading eligibility. We find that liquidity is higher when stocks become eligible for margin trading and that this liquidity …