liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk … stock's return is more sensitive to unexpected changes in market volatility when its liquidity disappears more in response … to volatility shocks, which indicates that liquidity providers play an important role in determining the effect of market …

-2019 sample period to explore the liquidity drivers of listed SMEs. With the complete dominance of retail investors, two competing … recognition exerts the largest effect on the liquidity of Chinese listed SMEs. This finding implies that having a large pool of … liquidity. Instead, liquidity improves because considerable shareholders hold stocks that they are familiar with or have …

Purpose: The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the … liquidity in asset pricing. Design/methodology/approach: The authors propose and compare two alternative implications of … liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior …

in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors … drive liquidity and volatility in both markets. Monetary expansion increases equity market liquidity during periods of …

higher conditional market returns. In order to test this hypothesis, we use two available liquidity proxies, namely versions …

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 …

Participation Shares. When volatility is conditioned on number of trades and quoted liquidity, trading volume provides no … volatility. Measures of quoted liquidity also play a significant role in explaining intra day volatility. Bid-ask spreads and …In this article, we examine dynamic relationships between volatility and various microstructure measures of trade …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We …

to relax a liquidity constraint. The dual nature of equity in the search-and-matching market entails a strategic … complementary in search operating through buyers' liquidity constraint, and it gives rise to endogenous booms and busts. The economy …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …