We use a new framework to analyze the liquidity trends in the US equity markets, based on the intra-day price trend … historical low. Furthermore while small jumps (which are generally liquidity related) are less common, but they increase … significantly during the stress events. Overall, these findings suggest that liquidity has not materially deteriorated in the U …

with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that … there is a positive relationship between the volatility and death tolls. Second, while in the short term the sizable … volatility have a negative relationship. Finally, the monetary policy and the volatility have much stronger coherency than the …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …

Liquidity level and liquidity risk are priced in the cross-section of corporate bond yields and returns. In the first … case the focus is on the individual liquidity level while in the second case it is on the exposure to a common liquidity … factor. In this paper we focus on the impact of the liquidity level on yield spreads by acknowledging that liquidity is a …

a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …

. Elaborating on this intuition, we conjecture that arbitrageurs can propagate liquidity shocks between related markets. The paper … ETFs increase the volatility of the underlying assets, and that the prices of the underlying assets are affected by shocks … ; undervaluation ; volatility ; excess returns ; price ; cross market contagion ; arbitrageurs …

to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility …We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2 … crisis, accompanied by increased price volatility, but that trading activity seems unaffected until after the Lehman Brothers …