impact on spreads and delineate the opposing effects of liquidity and market segmentation. Finally, we show that other …

of liquidity, risk, signaling and ideal price range explanations that could justify the sizeable cumulative abnormal …, however, that liquidity reasons do not seem to be sufficient to explain the observed abnormal returns around the ex-date. A … directed at splitting firm. This confirmed that liquidity increases were indeed one of the main objectives pretended by the …

We introduce a new empirical methodology that takes account of liquidity risk in a Value-at-Risk framework, and … quantify liquidity risk premiums for portfolios and individual stocks traded on the automated auction market Xetra which … operates at various European exchanges. When constructing liquidity risk measures we allow for the potential price impact …

We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market … rate of traders and increases the number of value traders arriving — liquidity supply is more competitive after periods of … arriving — liquidity supply is less competitive when the spread widens. …

examination of the conjoint evolution of three microstructure indicators: market volatility, liquidity, and bid-ask spread. Then …

-listed equities, this article compares global and local liquidity before and after MiFID and investigates how liquidity relates to … market fragmentation and internalization. Market fragmentation is found to improve global and local liquidity, with spreads … stocks. Further, internalization is not proved to be detrimental for liquidity. …

This paper analyses the impact of the launch of TARGET2, as of 19 November 2007, on liquidity management, the …