Based on the model of weighted nonparametric estimation, the study aims to investigate liquidity impact on sector … and liquidity is found and the expected returns of sectors are obviously reduced with liquidity impact. Second, the … expected return of finance sector witnesses a weaker liquidity impact than the ones of traffic facilities and nonferrous metal …

Based on the model of weighted nonparametric estimation, the study aims to investigate liquidity impact on sector … and liquidity is found and the expected returns of sectors are obviously reduced with liquidity impact. Second, the … expected return of finance sector witnesses a weaker liquidity impact than the ones of traffic facilities and nonferrous metal …

Volume-based liquidity ratios suffer from potential measurement bias due to share restriction and may misrepresent … actual liquidity. In this paper, we develop a modified metric, the free-float liquidity ratio. We argue that this measure is … better suited to estimate liquidity in the presence of trading constraints as can be found in family-owned businesses or …

. Contemporaneous with the significant fall in equity market values is the evaporation of market liquidity. We show that transactions … of global liquidity suppliers is correlated with the increase of over 400% in margin requirements, driving a pro …-cyclical downwards liquidity spiral. These effects are shown to be concentrated in securities most exposed to electronic liquidity …

midday liquidity. During the auction time, Multilateral Trading Facilities (MTFs) as competitors of the LSE, continue their … normal trading. We examine the midday liquidity changes on both the LSE and MTFs and analyze their implications on platform … competition. The intra-day auction in general improves liquidity at midday on both the LSE and MTFs. The intra-day auction helps …

measures on the stock returns and liquidity of Vietnam-listed companies in the financial services sector. Design … significant negative effects on the stock market returns and liquidity. Nevertheless, the Government’s imposition of lockdown … the stock returns and liquidity of Vietnam-listed companies in the financial services industry. …

In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise … investigate how unlimited liquidity provision affects collateral prices. Also, I match banks' trades with their balance sheet and … show how funding liquidity impacts premia payment. I quantify the Fire Buy premium to be 15.6 bps; and the Risk …

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …