placement. We introduce the concept of a liquidity elasticity, measuring the responsiveness of liquidity demand with respect to … changes in liquidity supply, as a major driver for a declining price impact per share. Empirical evidence based on Nasdaq … stocks strongly supports theoretical predictions and shows that the aspect of liquidity coor- dination is an important …

structure. We highlight the role played by order toxicity in affecting liquidity provision, and we show that a measure of this … in the hours and days prior to collapse. Since the ‘flash crash' might have been avoided had liquidity providers remained …

Using a recent pilot program as an exogenous shock to hidden liquidity, we show that hidden liquidity has significant … other stock attributes. Spreads, depths, trading volume, and trade size increase with hidden liquidity. The extent of … informed trading and the price impact of a trade also increase with hidden liquidity. Traders use more inside-the-quote limit …

This study examines the effect of stock liquidity on corporate risk-taking behavior. We find that stock liquidity has a … Reform (SSSR) in China as an exogenous shock to stock liquidity. We also investigate the channels through which stock … liquidity affects risk-taking and find that increases in stock liquidity lower the cost of capital and increase the pay …

increased liquidity by individual investors or institutional window-dressing activity. When the author investigated the net …

are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time …

jumps is associated with public information releases, whereas majority of them is motivated by liquidity shocks observed in … absorb new and big orders. Liquidity shocks in quoted spread, volume and number of trades are the key drivers causing the … occurrence of the jumps. Finally, the introduction of faster and more efficient trading system enhanced the impact of liquidity …

others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They …