number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key … element is missing: liquidity also depends on (3) an asset s correlation with other securities. For example, if an illiquid … security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …

In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order … behave opposite to proprietary algorithmic traders by reducing supply of liquidity during stress situations. We also document …

In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order … market. We find that they rarely use liquidity removing market orders. Their ability to affect the bid-ask spread with order …

Does trader leverage drive equity market liquidity? We use the unique features of the margin trading system in India to … identify a causal relationship between traders' ability to borrow and a stock's market liquidity. To quantify the impact of … trading eligibility. We find that liquidity is higher when stocks become eligible for margin trading and that this liquidity …

shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …

Is liquidity better when the trade counterparties are unknown (anonymous) or known (transparent)? We examine how … knowledge of the trade counterparties affects the liquidity of markets. Our empirical results are generated in a quasi … results for inside spread, price impact, and book depth suggest that liquidity improves when anonymous post-trade reporting is …

measures of liquidity. A meta-model implies an empirical measure of liquidity, denoted L, which describes various … characteristics of trading and funding liquidity such as trading costs, bet sizes, haircuts, and capital requirements. When mapped …

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

We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by … find that the option bid-ask spread may be still a good proxy for informed trading, despite of the liquidity searching … traders avoid trading in initial periods after listing dates due to the low liquidity environment), which is steeper for …

announcements, the duration-until-next-unsophisticated-order (DUNUO)—a novel unsophisticated liquidity measure—following an …