in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors … drive liquidity and volatility in both markets. Monetary expansion increases equity market liquidity during periods of …

Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints …, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central …) effects of the Bank of Japan (BOJ)'s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity …

This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of … mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate … robust with respect to the order book depth at which liquidity is measured. …

central bank reserves. Understanding how macroeconomic events shape liquidity in this market is important for a number of …-frequency data, we consider liquidity provision in the period around monetary policy announcements and relate this to prevailing … levels of investor sentiment. We are able to contrast changes in liquidity in the gold and silver markets, and across three …

Crude oil futures play an important role in the global financial and energy markets, yet the dynamics of liquidity in … this crucial market have largely been ignored. Understanding how macroeconomic events shape liquidity in this market is … crucial for both hedgers and speculators, particularly those demanding large amounts of liquidity. In addition, policy makers …