credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in … credit spreads. The liquidity regime seems to explain the predictive power of credit risk on the 2007-2009 NBER recession …

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the …

This paper empirically examines whether asset’s liquidity can help resolve the known strike-price biases of the Black …-Scholes model for different liquidity measures based on trading volume, bid-ask spread and the Amihud’s ILLIQ. Our results … indicate that, when the underlying asset or its derivative exhibit lower liquidity, the degree of curvature of the strike …

performance of a liquidity weighted scheme is superior to that of more conventional schemes such as the vega weights, the … volatility elasticity weights and the traditional vxo. Liquidity weights offers the possibility of improved implied volatility … estimation in situations where there is strong cross-sectional variation in option market liquidity. …

volatility, jumps in the market index, and changes in liquidity work reasonably well in explaining the cross-section of index …

all useful concepts when examining a liquidity crisis, financial intermediation and the changing social structure of trade …. We find that there may have been a liquidity crisis suffered by goldsmith bankers before the Bubble, a gradual path …

cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government … imposes CTT, it would lead to higher volatility and lower trading activity affecting market efficiency and liquidity …

terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the …, and has adopted the modern multiple-curve CSA approach, thus incorporating credit and liquidity effects into market prices …