price, thereby causing the run itself. Consequently, stock prices are low and risk is allocated inefficiently. Liquidity … runs and crises are not caused by liquidity shocks per se, but by the fear of future liquidity shocks …

price, thereby causing the run itself. Consequently, stock prices are low and risk is allocated inefficiently. Liquidity … runs and crises are not caused by liquidity shocks per se, but by the fear of future liquidity shocks …

We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of … a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity … measures between 1999-2012. Specifically, macro-liquidity shocks, which are extracted on the meeting days of the Bank of …

integration through ETFs could lead to a build-up of systemic liquidity risks and increase the vulnerability of liquidity shock … ownership exhibit a greater commonality in liquidity to other stocks in the same market. The effect increases with the level of … liquidity. We also find that the effect is asymmetric; ETFs exert a stronger influence when stocks’ liquidity decline. These …