diversification benefits for international investors. However, many stocks in these markets are thinly traded so liquidity is an … important consideration. We investigate which liquidity proxies best measure the actual cost of trading in 19 frontier markets … with liquidity benchmarks, while the FHT measure provides the best measure of the magnitude of actual transaction costs …

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third ….S. Our results support the notion that, while market liquidity is generally higher in transparent markets, a sub-set of bonds …

determinant of international stock market liquidity. Increased risk perception reduces liquidity around the world, and its impact … is not subsumed by other well-documented market-level determinants of liquidity. The effect is pervasive, but is stronger … phases of the business cycle, or the way liquidity is measured …

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third ….S. Our results support the notion that, while market liquidity is generally higher in transparent markets, a subset of bonds …

This paper documents the pricing of liquidity and identifies its drivers in the four main segments of the interbank and … exchange credit bond markets in China. First, we find that liquidity effects are priced in credit bond yield spreads, and … differ significantly across these four segments. Second, we identify several channels through which liquidity may affect the …

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …

We study marketwide liquidity and trading activity in China. Trading activity increases in up markets more than in down …. Whereas, on average, liquidity and trading activity are lower around holidays, in more recent times, trading activity has been …, but short selling also increases spreads, indicating lower liquidity. We also document the increased influence of global …