In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to … comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

We consider a model in which dealers intermediate trades between clients and provide immediacy, or, market liquidity … dealers' ability to raise external finance and hence to compete aggressively with each other in providing liquidity. To … leverage is therefore endogenous and related to variations in liquidity across otherwise unrelated markets. Our results shed …

We use proprietary transactional data to examine the determinants of liquidity in the UK government bond (gilt) market …-zone sovereign debt crisis. During this period, gilt market liquidity fluctuates significantly with execution costs almost doubling … at the peak of the crisis. Consistent with theory, dealer balance sheet constraints and increased funding costs are …

We analyze a novel feedback mechanism between market and funding liquidity that causes self-fulfilling liquidity dry … gain by resorting to outside liquidity sources and withhold assets from secondary markets. This leads to adverse selectrion … become mutually reinforcing. We compare different policy measures that can mitigate the risk of inefficient liquidity dry …

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …

This paper examines the relationship between liquidity and quality of financial information by analyzing long …. Overall, my results indicate a positive relationship between quality of financial information and liquidity …

liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when …

correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low … risk. This rebalancing creates predictable demand for liquidity. We also apply the strategy to a group of commodities not …

on liquidity in an attempt to explain the coexistence of evidence regarding both the positive and the negative impacts of … shocks, through which HFT trading patterns may sharply change. Latter regards the certain characteristics of HFT liquidity …