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 …

in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors … drive liquidity and volatility in both markets. Monetary expansion increases equity market liquidity during periods of …

higher conditional market returns. In order to test this hypothesis, we use two available liquidity proxies, namely versions …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

Participation Shares. When volatility is conditioned on number of trades and quoted liquidity, trading volume provides no … volatility. Measures of quoted liquidity also play a significant role in explaining intra day volatility. Bid-ask spreads and …In this article, we examine dynamic relationships between volatility and various microstructure measures of trade …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …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 …

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 …

liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility …In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in … measures. Based on an event study methodology, we find that particular HLOC configurations are associated with higher liquidity …

-time methods for determining whether the liquidity of a security is being altered rapidly. We find a four-state Markov switching … model identifies a state where liquidity is being rapidly varied about a mean value. This state can be used to generate a … signal to delay market participant orders until the price volatility subsides. Over our sample, the signal would delay orders …

We examine the relation between liquidity, volume, and volatility using a comprehensive sample of U.S. stocks in the … after controlling for volatility, contrary to most theoretical predictions. This relation is mostly driven by the systematic … line with a continuous-time inventory model, we show that the volatility of order imbalances can reconcile our puzzling …