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 …

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

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 …

. 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 …

declines following most types of press releases. At the same time, return volatility frequently increases in the post …