In stock markets, trading volumes serve as a crucial variable, acting as a measure for a security's liquidity level. To evaluate liquidity risk exposure, we examine the process of volume drawdown and measures of crash-recovery within fuctuating time frames. These moving time windows shield our...

Trading volumes are key variables in determining the degree of an asset's liquidity. We examine the volume drawdown process and crash recovery measures in rolling-time windows to assess exposure to liquidity risk. The time-varying windows protect our financial indicators from the massive amount...