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

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 …

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …. We nd relatively less trading and wider bid-ask spreads in affected REITs. The results confirm theory on the detrimental …

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 …

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 …