This study examines the impulse response functions and causality test of stock market returns and market-wide liquidity … causality test results indicate that stock returns and liquidity Granger cause each other. The results of this study offer …

2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows, and liquidity. It …, we document substantial common movements in returns, order flows, and liquidity, both on a market-wide basis as well as … on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation …

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 …

-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns … liquidity predicts declining stock prices …

We investigate the relationship between expected returns and liquidity measures in Borsa Istanbul. To do so, we gather …

. Theory predicts this technological advantage should translate into market-wide liquidity co-variation, by transmitting … information-based liquidity shocks. Using a dataset of orders and trades from the French stock market, we investigate whether HFT … algorithms constitute a source of systematic liquidity risk. We demonstrate that, across securities, the liquidity offered by …

notion that the reversal returns proxy the expected returns from liquidity provision in adverse times …

We investigate the association between African real stock returns and stock liquidity for sixteen countries over the … liquidity measures are positively related when South Africa is excluded from the sample, making liquidity “priced in” these less …