Using a comprehensive dataset of orders and trades in the Indian government bond market, this study presents new evidence on the effect of funding liquidity on market liquidity. Consistent with models that stress intermediary capital, we find that market liquidity has a strong, positive...

Using a unique data set of trades and limit orders for Samp;P 500 futures, we decompose the aggregate risk into a component driven by the impact of net market orders and a component unrelated to net orders. The first component -- flow-driven risk -- is large, accounting for approximately 50...