This paper examines how liquidity in two actively traded futures markets was affected by the recent financial crisis … withdrawal of liquidity from Eurodollar futures markets, yet a far more muted response in the S&P 500 index futures contract. A … deeper investigation into high-frequency trading strategies finds that prior to the crisis, liquidity additions and …

correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low … risk. This rebalancing creates predictable demand for liquidity. We also apply the strategy to a group of commodities not …

-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and … trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading …

The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid …-ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic … variables are used to control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a …

significant changes in U.S. money market liquidity. We develop a model in which U.S. money market spreads respond to foreign … central banks’ exchange-rate management decisions. Foreign central banks remove liquidity from U.S. money markets and cause … spreads to widen by selling Treasuries to supply liquidity to their financial systems. Our analysis focuses on the major oil …