In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …

-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) market liquidity model, this paper: (i) reports a … significant relationship between market liquidity and investor sentiment, (ii) shows that market liquidity (illiquidity …) negatively (positively) predicts subsequent market returns, (iii) provides market liquidity based explanation to the …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

This paper develops a present value framework that reflects expectations of future changes in liquidity and liquidity … premia. In our framework, a liquidity premium depends explicitly on prices, dividends, costs, and returns. We find that the … liquidity premium for the CRSP market portfolio is significantly priced over short horizons, but its long-horizon evidence is …

This study presents and empirically tests a simple framework that examines the effects of market liquidity (the ease … with which stocks are traded) and funding liquidity (the ease with which market participants can obtain funding) on stock … market bubbles. Three key findings emerge from this research. First, negative market and funding liquidity shocks increase …

-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees … on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and … suppliers matters. Posted quotes adjust after the change in the fee composition, but the transaction costs for liquidity …

-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees … on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and … suppliers matters. Posted quotes adjust after the change in the fee composition, but the transaction costs for liquidity …

-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees … on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and … suppliers matters. Posted quotes adjust after the change in the fee composition, but the transaction costs for liquidity …