The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory …

. Uninformed traders act as liquidity providers. They place the highest number of limit orders and end up with the market return. …

This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity … liquidity of the trading mechanisms. For both success factors of real stock exchanges our results show a strong tendency that … continuous trading outperforms the other market structures, at least in the framework of the present measurement and on the …

basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …

This dissertation is built around three separate papers that research several aspects of stock market liquidity. All … three papers use the innovative XLM (Exchange Liquidity Measure) data to measure the liquidity. The first paper entitled … Does Screen Trading Weather the Weather? A Note on Cloudy Skies, Liquidity and Computerized Stock Markets tests for the …

that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …