the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third ….S. Our results support the notion that, while market liquidity is generally higher in transparent markets, a subset of bonds …

Financial market liquidity is an important yardstick of value for investors and central monetary authorities. Secondary … market liquidity itself cannot be observed directly and is instead measured using a number of different proxies. The most … order to ascertain if the level of liquidity in a specified market has improved over a period of time. The market we select …

The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil … and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS, one of … Europe's leading electronic fixed-income trading platforms. We document flight-to-liquidity effects as investors prefer to …

This paper examines the dynamics of the liquidity premium in the Chinese stock market by adopting a multivariate …, idiosyncratic volatility, and market liquidity betas). By employing a wide range of liquidity measures, we show that liquidity … premium. Based on the Amihud liquidity measure, the decomposition approach indicates that the size factor contributes 45 …

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

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 …

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 …