2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows, and liquidity. It …, we document substantial common movements in returns, order flows, and liquidity, both on a market-wide basis as well as … on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation …

announcements, the duration-until-next-unsophisticated-order (DUNUO)—a novel unsophisticated liquidity measure—following an …

, corporate governance, and stock market liquidity. Our results suggest that board independence, corporate disclosure and outside … monitoring by institutions help moderate the effects that insiders have on trading costs and liquidity. We also find that market …

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 …

We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants … (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and … institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity …