important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …

The complex pattern of the dependence that exists between liquidity, durations and spread in a limit order market is … 100 stock we confirm that limit orders, placed in five levels on both bid and ask side, provide liquidity and are an … important conduit of information flow along with the spread. The bid side and ask side liquidity can play different roles in …

the study of intraday liquidity …