investigate how changes in trading volume influence liquidity on lit markets. The results of our scenario analysis indicate that … liquidity on lit markets might increase due to additional turnover formerly traded OTC. However, also a negative liquidity … depth 10 bps around the midpoint might decrease by 1.95% on lit venues. This effect on liquidity not only increases trading …

This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices … impediments are absent, abnormal returns persist. Using a new measure of liquidity, we find that liquidity is economically and …

We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume …-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a … positive relation between market and liquidity risk. Moreover, this relationship is the stronger the deeper one digs into the …

well as on consolidated liquidity of French blue chip equities, newly tradable on Chi-X. Our findings suggest that owing to … this new competition the home market's liquidity has enhanced. This is apparently due to the battle for order flow which … results in narrower spreads and increased market depth. These results imply that overall liquidity in a virtually consolidated …

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in … test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced … yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our …

In this paper, we explore the link between culture, measured by collectivism, and commonality in liquidity for 51 … countries over the period 1985 to 2012. We provide evidence that commonality in liquidity is higher for stocks that trade in … collectivist countries, after controlling for supply-side and demand-side determinants of liquidity as well as a host of country …

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 …

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 …

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