Uniswap is a decentralized exchange (DEX) and was first launched on November 2, 2018 on the Ethereum mainnet [1] and is part of an Ecosystem of products in Decentralized Finance (DeFi). It replaces a traditional order book type of trading common on centralized exchanges (CEX) with a...

This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More importantly, our study shows that asset liquidity...

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the...

We investigate the association between African real stock returns and stock liquidity for sixteen countries over the years 1995–2010. Using fixed effect models (FEM) and system generalized method of moments (SGMM), stock returns and liquidity measures are positively related when South Africa...

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the...

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contempo- raneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the...

We characterize how U.S. global systemically important banks (GSIBs) supply short-term dollar liquidity in repo and foreign exchange swap markets in the post-Global Financial Crisis regulatory environment and serve as the "lenders-of-second-to-last-resort". Using daily supervisory bank balance...

This study examines the effect of firm-level transparency on liquidity and trading in a multi-market setting, using the market for American Depository Receipts (ADR) as an example. Theory predicts competing effects of transparency on liquidity differences between stocks trading domestically and...

In 2000s regulation in the USA and subsequently in Europe responded to the needs of investors and traders, allowing them to take advantage of modern technology, and unleashing competition never before witnessed in the stock exchange industry, with a singular focus on liquidity. By 2010 new...

This paper empirically tests the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005) on a global level. Consistent with the model, I find evidence that liquidity risks are priced independently of market risk in international financial markets. That is, a security's...