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 …

We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature …

measure) to aggregate different groups of liquidity measures (percent-cost proxies, cost-per-volume proxies, etc.), in order … to accommodate for the ‘different dimensions of liquidity' (Amihud et al., 2005) through a single ‘unified' market …-wide aggregate liquidity metric. The weights for the multiple dimensions are time-varying and depend on three components: the …

In this paper, we examine how liquidity affects cryptocurrency market efficiency and study commonalities in anomaly … funding liquidity translate into lower asset liquidity in the cryptocurrency market. Empirically, we observe that the widely …, we also find supportive evidence that a decrease in cryptocurrency liquidity enhances hedge portfolio returns based on …

We provide empirical evidence within the context of cryptocurrency markets that the returns from liquidity provision … liquidity provision are amplified in smaller, more volatile, and less liquid cryptocurrency pairs where fear of adverse … highlight the role of inventory risk and adverse selection for liquidity provision. …

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 …

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 …

Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the … low costs of transaction. Providing a rigorous and empirically relevant definition of market liquidity has, however … estimating the market liquidity of assets. We consider definitions that stress the role of the bid-ask spread and the estimation …