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 …

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 …

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

seasoned equity offering improves stock liquidity, the effect over the liquidity of different type shares of the same firm has … reduction, using panel data models we found a stock liquidity reduc- tion of dual-class shares upon the offering; consistent …

This paper provides original evidence on the relation between herd behavior and equity market liquidity, an issue that … initially we find no evidence of herding. When, however, we condition on the daily liquidity of stocks we find significant … evidence of herd behavior for days with high or medium stock liquidity, for all countries and the majority of the sub …

This paper shows how arbitrage activity contributes to the convergence of liquidity across markets. Based on simple … market liquidity between securities linked by arbitrage. I test these hypotheses on Canadian stocks cross-listed in the …

Is liquidity better when the trade counterparties are unknown (anonymous) or known (transparent)? We examine how … knowledge of the trade counterparties affects the liquidity of markets. Our empirical results are generated in a quasi … results for inside spread, price impact, and book depth suggest that liquidity improves when anonymous post-trade reporting is …

Market makers are key entities providing liquidity to the market. Their activity has influence on transaction costs …