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

increases as trade size increases. We also identify a few liquidity trends: measures like average daily volumes, average price …

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

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 …

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of … mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate … robust with respect to the order book depth at which liquidity is measured. …

. We exploit this quasi{ natural experiment to investigate the impact this change had on liquidity and trading behavior …

This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and … persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six … months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more …

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 …

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 …