joint impact of HFT and fragmentation on market liquidity. We provide new evidence at the intersectionality of HFT and … their individual effect on liquidity. Generally, higher HFT is beneficial for market liquidity, however trade fragmentation … is liquidity damaging. HFT reduces both realized spreads and adverse selection costs. HFT's liquidity benefits are …

This paper documents the liquidity-supplying behavior of High-Frequency Traders (HFT) during the abrupt and sustained … market decline led by the COVID-19 outbreak. The findings suggest that these endogenous liquidity providers reduce their … supply of liquidity in times of sustained market stress that lasted several days. The results are remarkably consistent for …

We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950 …-2013 period. We find that firms after foreign market listing exhibit lower liquidity sensitivity, lower liquidity beta, and suffer … more liquid markets. The liquidity enhancement is associated with firms' increased foreign ownership post-listing and is …

liquidity shock in the form of reduced access to large time deposits during the European sovereign debt crisis in 2011. The … branches received additional funding from their parent banks, but not enough to offset the lost deposits. (3) The liquidity …

in advanced economies are key cyclical determinants of liquidity in Chilean equities. Evidence from a cross-section of …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the …

markets on the liquidity of their bond markets. This study analyses the liquidity of bonds in various emerging bond markets … the sovereign debt crisis. This study notes that the bond liquidity is affected due to the sign of the rating granted by … the rating agencies for each country. Design/methodology/approach This study aims to question the sources of liquidity …

Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …

.S. branches of European banks faced a dollar liquidity shock — due to their perceived risk reflecting the sovereign risk of their …