In this paper, we develop an equilibrium model for stock market liquidity and its impact on asset prices when constant … prevents them from synchronizing their trades and hence gives rise to endogenous order imbalances and the need for liquidity …. Moreover, the endogenous liquidity need, when it occurs, is characterized by excessive selling of significant magnitudes. Such …

Financial assets provide return and liquidity services to their holders. However, during severe financial crises many … asset prices plummet, destroying their liquidity provision function at the worst possible time. In this paper we present a … not control or understand. The liquidity of the market quickly vanishes and a financial crisis ensues. The model exhibits …

liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …