poorer credit ratings and financial positions. An inferred recovery rate, after controlling for liquidity effects, is also …

Research on electricity futures markets has to date not explored the role that market liquidity may play in determining … risk premia. Further, no detailed empirical examination of both liquidity and risk premia in the New Zealand electricity … find that liquidity has been gradually increasing and that a policy intervention to impose a maximum bid-offer spread was …

information channels): when liquidity providers face higher funding constraints, liquidity spillovers across assets increase …Liquidity spillovers -- i.e., the transmissions of liquidity shocks from one asset to another -- are an important yet … not fully understood feature of price formation in financial markets. In this paper, I examine liquidity spillovers across …

correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low … risk. This rebalancing creates predictable demand for liquidity. We also apply the strategy to a group of commodities not …

-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and … trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading …

shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute … aggregate after the Big Bang, they do so less for contracts that require larger fees. Furthermore, the funding effect is …