our results, spillovers from liquidity volatility to returns volatility and vice versa are more intense after the crisis …. Further, the volatility persistence of both returns and liquidity becomes lower after the crisis. These results are consistent … with the existence of more frequent short-lived episodes of high volatility and more unstable liquidity that is more prone …

Artículo de revista ; On 20 April 2020 the West Texas Intermediate (WTI) oil futures price for May delivery turned … negative for the first time in history. Other crude prices also posted very low values and their volatility soared, far more … than that on stock markets. This article analyses the differences between the spot and futures markets for crude …

This paper investigates the effect of the introduction of exchange-traded funds (ETFs) on the liquidity of individual …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets like the … uncertainty with liquidity, we specify a simple market where a monopolist financial intermediary makes a market for a propriety …

algorithms are documented that can be rectified by recognizing that the impact on liquidity is the fundamental characteristic … underlying order placement. Although this liquidity-based method is difficult to implement, it more closely captures the actual …

the liquidity level of derivative markets and economic growth in the cases of developed countries indicates that the risk … transfer function of the derivative markets is a contribution to economic growth. We find the liquidity level of underlying … liquidity in the underlying spot market, derivative trading can be sustained. …

We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity …

We study the determinants of liquidity and price differentials between on-the-run and off-the-run U.S. Treasury bond … of these shocks on both off/on-the-run price and liquidity differentials in the presence of two realistic market … implications by analyzing daily differences in market liquidity and yields for on-the-run and off-the-run three-month, six …

equilibrium market liquidity, and that the magnitudeof this effect is sensitive to the market’s information environment. We test …-the-run Treasury securities decline on days when POMOs are executed; and ii) POMOs’ positive liquidity externalities are increasing in … proxiesfor information heterogeneity among speculators, fundamental volatility, and policy uncertainty, consistent with our model. …