incorporate to stock market modeling to prove the hypothesized the effectiveness of monetary policy on stock market liquidity in …

other informational advantages. High levels of order flow toxicity can culminate in market makers providing liquidity at a … market liquidity and precede precipitous drops in asset prices. Bulk Volume VPIN (BV-VPIN) is one way of measuring the …

order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted … spread less than $0.05, the tick size increase is binding and leads to a significant decrease in liquidity in the limit order … book becomes less resilient – the amount of time required for a deviation in liquidity to return to its long-run mean. For …

liquidity and (generally) welfare compared to the case of an unregulated monopoly. Controlling entry or, even better, platform …

We explore a broad range of high-frequency liquidity measures for the Chinese stock market, based on a comprehensive … summarize their liquidity levels and key distributional properties. Hypothesis tests show that order interarrival times follow … Chinese stock market. We analyze the intraday and cross-sectional patterns of liquidity, and find novel intraday periodicities …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …