This paper investigate whether the effects of U.S. news announcements has influence on liquidity commonality during … financial crisis periods. We construct a market-wide liquidity risk in the foreign exchange market by using Generalized Dynamic … Factor Model (GDFM) model. We show that strong commonality in liquidity are associated with major crisis events. Our analysis …

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …

. Theory predicts this technological advantage should translate into market-wide liquidity co-variation, by transmitting … information-based liquidity shocks. Using a dataset of orders and trades from the French stock market, we investigate whether HFT … algorithms constitute a source of systematic liquidity risk. We demonstrate that, across securities, the liquidity offered by …

We analyze different dimensions of liquidity on the Istanbul Stock Exchange (ISE) by using detailed order and … trades and volume follow a U-shaped pattern. Means of these liquidity variables are significantly different for different …

This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the … corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find … that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity …

We analyze different dimensions of liquidity on the Istanbul Stock Exchange (ISE) by using detailed order and … trades and volume follow a U-shaped pattern. Means of these liquidity variables are significantly different for different …