This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

. Theory predicts this technological advantage should translate into market-wide liquidity co-variation, by transmitting … information-based liquidity shocks. Using a dataset of orders and trades from the French stock market, we investigate whether HFT … algorithms constitute a source of systematic liquidity risk. We demonstrate that, across securities, the liquidity offered by …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

joint impact of HFT and fragmentation on market liquidity. We provide new evidence at the intersectionality of HFT and … their individual effect on liquidity. Generally, higher HFT is beneficial for market liquidity, however trade fragmentation … is liquidity damaging. HFT reduces both realized spreads and adverse selection costs. HFT's liquidity benefits are …

The paper analyses the impact of Exchange Traded Funds (ETFs) on the liquidity of stock exchanges in the European Union …. The liquidity of stock exchanges is a complex phenomenon that is influenced by a number of economic and political factors …, and a number of models such as the average daily volumes have been developed to explain the aspect of liquidity. The paper …

liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign …