frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …

We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on … Order Expectations (HOEs) about the two factors that influence the aggregate demand: fundamentals information and liquidity … HOEs about fundamentals are subdued, prices under-rely on public information, the market hovers in a high liquidity state …

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers … benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility …) to a one-standard-deviation shock to the number of COVID-19 cases are statistically insignificant, except for France …

outcome in terms of liquidity and (generally) welfare compared to the case of an unregulated monopoly. Controlling entry or …

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 …