Liquidity is an important financial market characteristic, effecting portfolio decisions, and priced risk. During … understanding how liquidity differs during those periods is important. We examine how stock market liquidity was impacted by two … lot in response to small amounts of volume). Although the magnitude of the liquidity change is greater at the onset of …

This paper investigate whether the effects of U.S. news announcements has influence on liquidity commonality during … financial crisis periods. We construct a market-wide liquidity risk in the foreign exchange market by using Generalized Dynamic … Factor Model (GDFM) model. We show that strong commonality in liquidity are associated with major crisis events. Our analysis …

liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when …

This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the … that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity … risks increase. However, commonalities do not depend on firm's characteristics. The level of the liquidity commonalities …

crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide … crash. In their place, slow traders provide liquidity, taking advantage of the discounted price. We thus uncover a trade …-off between the greater liquidity and efficiency provided by designated market makers in normal times, and the disruptive …