This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the … valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More … importantly, our study shows that asset liquidity plays a more significant role in resolving valuation uncertainty in countries …

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

This paper studies the impact of sovereign debt rating changes on liquidity for stocks from 40 countries for the period … 1990-2009. We find that sovereign rating changes significantly affect stock liquidity. The impact is stronger for … impact on stock liquidity. We also find that some stock characteristics and country legal and macroeconomic environment are …

-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 …

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …

. Contemporaneous with the significant fall in equity market values is the evaporation of market liquidity. We show that transactions … of global liquidity suppliers is correlated with the increase of over 400% in margin requirements, driving a pro …-cyclical downwards liquidity spiral. These effects are shown to be concentrated in securities most exposed to electronic liquidity …

; Liquidity ; Financial crisis ; Banks ; Procyclicality …