equilibria which can be ranked in terms of liquidity, volatility, and informational efficiency. We establish the limits of the …We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have … a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading …

market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more … liquidity when the market becomes less liquid, fostering market illiquidity. This can generate instability with an initial … dearth of liquidity degenerating into a liquidity rout (as in a ash crash). In a fully transparent market, liquidity is …

) and Berlin (2016) on the stock indices of the USA (S&P), Japan (NIKKEI), Germany (DAX), Spain (IBEX), UK (FTSE), France …

characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities …Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise …

beliefs of market participants. We find for our sample that intervention increases exchange rate volatility (and spread) for … the next minutes but that intervention days show a lower degree of volatility (and spread) than non-intervention days. We …