others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They …

-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a …

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

AbstractWe investigate whether liquidity is an important price factor in the US corporate bond market. In particular …, we focus on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high … wide range of liquidity measures and find that liquidity effects account for approximately 14% of the explained market …

, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses … market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge …, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS …