liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk … stock's return is more sensitive to unexpected changes in market volatility when its liquidity disappears more in response … to volatility shocks, which indicates that liquidity providers play an important role in determining the effect of market …

Purpose: The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the … liquidity in asset pricing. Design/methodology/approach: The authors propose and compare two alternative implications of … liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior …

to relax a liquidity constraint. The dual nature of equity in the search-and-matching market entails a strategic … complementary in search operating through buyers' liquidity constraint, and it gives rise to endogenous booms and busts. The economy …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

costs curves and we find empirical evidences about the "pegging to the current mid-quote" behavior of the liquidity …

The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be … liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently … available for modelling and estimating the market liquidity of stocks. We discuss definitions of market liquidity that stress …

proxy measure used, time variations in illiquidity premia, and the superior performance of liquidity-adjusted model compared …

This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric … in previous re-search, on the prior order history when deciding whether to provide or take liquidity. Our analysis shows …

We consider a program that, by bringing additional liquidity to the equity markets, would benefit market participants …

We examine the relationship between stock market liquidity and the network centrality of firm executives. We find that … liquidity costs. We use an exogenous network centrality shock of executive turnover and report that liquidity improves after … firms hire executives with greater centrality. We present evidence that improved liquidity is attributable to efficient …