-scale analysis of financial data. We define an information theoretic measurement termed Liquidity that characterises the unlikeliness … show empirical examples within the Foreign Exchange market where the new measure not only quantifies liquidity but also …

measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized … Amihud provides a precise measurement of the inverse of integrated liquidity over fixed-length periods (e.g., a day, a week …

A substantial body of existing research suggests that asset price volatility is harmful to market liquidity. This paper …

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums …

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 … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …

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 …

The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond … countries. It is used for the event study and panel regression model. The event study results revealed that liquidity spill … limit the exposure to the liquidity spillover risk in bond markets. …

, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the …

. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long …