Lou and Sadka (2011) examine the effect of stock liquidity characteristics on stock performance during the 2008 …-2009 crisis. Their conclusion is that liquidity risk, and not the liquidity level, explains stock performance during the crisis …. Lou and Sadka (2011) measure liquidity via Amihud’s (2002) illiquidity measure. I construct a new measure of illiquidity …

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …

vector autoregressions, we show that shocks to funding liquidity (the TED spread), hedge fund assets under management, and a … liquidity can affect the aggregate degree of price efficiency …

liquidity identification and measurement in simulated environments, which can then be applied to empirical markets, which do not …This paper examines a number of widely used liquidity measures to assess the consistency and reliability of the … measures across different liquidity scenarios. A review is conducted of the various measures (based on Gabrielsen, Marzo and …

We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management … the liquidity risk arising from the buying and selling of a position. With the use of BLM we show, how to integrate … liquidity risk into the VaR-framework. While our method has already been introduced, it has never been tested on the Hungarian …

incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement model. The liquidity …We present a general framework for measuring the liquidity risk. The theoretical framework defines risk measures that …

Liquidity is easily perceived but not easily defined in financial markets. In this study, we present a class of … liquidity measures called Proper Liquidity Measures (PLM). We prove that widely used measure such as percent quoted spreads and … the performance of these measures: a) the relationship between liquidity and implied volatility and b) common factors in …

diversification benefits for international investors. However, many stocks in these markets are thinly traded so liquidity is an … important consideration. We investigate which liquidity proxies best measure the actual cost of trading in 19 frontier markets … with liquidity benchmarks, while the FHT measure provides the best measure of the magnitude of actual transaction costs …

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …