The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be … liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently … available for modelling and estimating the market liquidity of stocks. We discuss definitions of market liquidity that stress …

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 … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …