volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and … disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm …

security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large … number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key …

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …