In this study we analyze dealer exit, survival, and competitive equilibrium in the NASDAQ Stock Market using data from a unique time period that entails major changes in regulatory and competitive environments. We decompose the forces that affect dealer survival into market factors and dealer...

In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index (VIX)] exerts a large market-wide impact on liquidity, which gives rise to co-movements in individual asset liquidity. The effect of VIX on stock liquidity is greater than the...

This study shows that market volatility affects stock returns both directly and indirectly through its impact on liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk premiums but also greater illiquidity premiums that are...