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Do ETFs increase the commonality in liquidity of underlying stocks?

Agarwal, Vikas; Hanouna, Paul; Moussawi, Rabih; Stahel, … - 2021

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for …, respectively. Our results suggest that ETFs reduce investors' ability to diversify liquidity risk. …

Persistent link: https://www.econbiz.de/10012490478

Optimal trade execution and price manipulation in order books with time-varying liquidity

Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 651-695

Persistent link: https://www.econbiz.de/10011308175

Intraday liquidity patterns in limit order books

Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71

Persistent link: https://www.econbiz.de/10010258798

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-52

Persistent link: https://www.econbiz.de/10012819933

Optimal order display in limit order markets with liquidity competition

Cebiroglu, Gökhan; Horst, Ulrich - In: Journal of economic dynamics & control 58 (2015), pp. 81-100

Persistent link: https://www.econbiz.de/10011574644

Liquidity fluctuations and the latent dynamics of price impact

Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169

Persistent link: https://www.econbiz.de/10012872529

High-frequency cross-market trading : model free measurement and applications

Dobrev, Dobrislav; Schaumburg, Ernst - 2017 - This version: December 30, 2016

Persistent link: https://www.econbiz.de/10012805580

Trade Intensity and Liquidity

Brigida, Matt; Pratt, William - In: Market microstructure and liquidity 4 (2018) 1/2, pp. 1-17

Persistent link: https://www.econbiz.de/10012256399

Distilling liquidity costs from limit order books

Amaya, Diego; Filbien, Jean-Yves; Okou, Cédric; Roch, … - In: Journal of banking & finance 94 (2018), pp. 16-34

Persistent link: https://www.econbiz.de/10011965700

Liquidity risk, speculative trade, and the optimal latency of financial markets : conference paper

Fricke, Daniel; Gerig, Austin - 2014

number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key … element is missing: liquidity also depends on (3) an asset s correlation with other securities. For example, if an illiquid … security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …

Persistent link: https://www.econbiz.de/10010484462