Previous studies find as the VIX goes up, the return and the Sharpe ratio on liquidity provision increase. We argue … for providing liquidity, (2) when assets are volatile, liquidity shocks create stronger trading demands and thus liquidity … demanders pay a higher premium, and (3) when assets are highly correlated, the higher risk of spillover of liquidity shocks …

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

, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts …