Rösch, Christoph G.; Kaserer, Christoph - In: Journal of Banking & Finance 37 (2013) 7, pp. 2284-2302
We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume … contagion. Finally, we show that there is a positive relationship between credit risk and liquidity risk, i.e., there is a … impact of credit risk on liquidity risk intensifies. This corroborates the existence of a flight-to-quality or flight …