liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility …In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in … measures. Based on an event study methodology, we find that particular HLOC configurations are associated with higher liquidity …

This paper examines the effects of public news releases on the market liquidity in one of the most important OTC … quotes is larger, and the number of dealers is greater. Earnings announcements have particularly strong effects on liquidity … days and reverts to normal levels several days after news releases. Finally, the effect of news on liquidity is stronger …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We …