In order to reconcile weak evidence of supply-side determinants of commonality in liquidity in previous studies, we … examine commonality in liquidity in China over the period 1995-2012. Consistent with supply-side explanations, we find that … market declines and market volatility increase liquidity commonality. To identify the direct relationship between the supply …

We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume …-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a … positive relation between market and liquidity risk. Moreover, this relationship is the stronger the deeper one digs into the …

We measure the extent to which consolidated liquidity in modern fragmented equity markets overstates true liquidity due … to a phenomenon that we call Ghost Liquidity (GL). GL exists when traders place duplicate limit orders on competing … identified consistently across venues, we find that simply measured consolidated liquidity exceeds true consolidated liquidity …

I study how arbitrage affects liquidity by analyzing several billion trades in the AmericanDepositary Receipt (ADR …. Overall, these results suggest that arbitrage decreases price pressure and provides liquidity …

liquidity inside the spread tends to act as a loss leader, drawing additional trades after the successful execution of liquidity …

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …

This paper provides an explanation for reversals in global equity market integration through the funding liquidity …, explains how reversals occur as funding liquidity becomes scarce. Empirically, the betting against beta portfolios of the model … that load on funding liquidity comove less across markets during global funding distress periods. This suggests that at …