This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures … resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional … liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the …

, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …