liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic … Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market … conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long …

This thesis investigates the effects of the introduction of new financial derivative products on exchange volatility … market liquidity and/or increase market volatility for the related primary asset. The thesis builds a cross-country database …, efficiency and liquidity. The derivatives under primary investigation are Exchange Traded Funds (ETFs) and Contracts for …

This study uses high-frequency data to examine the impact of Bitcoin futures trading on volatility and liquidity of the … becomes more liquid in the post-futures trading period. The results are robust to different volatility and liquidity proxies … Bitcoin spot market. The introduction of futures trading significantly reduces the spot price variations. The spot market …

volatility, (iii) futures liquidity (width and depth) and the information flow to the futures market (through trading activity … and volatility). Information shocks to volatility affect futures market liquidity, which in turn affect volatility even … liquidity and trading activity on an emerging futures market. The joint dynamics of different dimensions of liquidity and …