By analyzing a novel transaction-level dataset, this study reveals the microstructural liquidity dynamics around scheduled macroeconomic announcements. Specifically, we examine whether investor composition contributes to liquidity fluctuations in a highly liquid and purely order-driven index...

This study examines the roles of funding liquidity in shaping the relationship between stock price synchronicity and equity market liquidity. We find that market liquidity and stock price synchronicity exhibit a downward-sloping relationship, contradicting the relative synchronicity hypothesis....