and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around …

assess the impact of HF trading on market liquidity and price efficiency. We find that HF trading increases after news … announcements and improves price efficiency. However, it has a negative impact on liquidity, as it widens spreads before …

to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a … negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower … depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades …

We examine the microstructure of liquidity provision in the COVID-19 corporate bond liquidity crisis. During the two …-primary dealers, shifted from buying to selling, causing dealers' inventories to plummet. Liquidity provisions in electronic customer …-to-customer trading increased, though at prohibitively high costs. By improving dealer funding conditions and providing a liquidity …

with naked short selling. However, naked shorting can also have beneficial effects for liquidity and pricing efficiency. We … reduction in positive pricing errors, the volatility of stock price returns, bid-ask spreads, and pricing error volatility. We … find that the ban did not slow the price decline of those securities and had a negative impact on liquidity and pricing …

Economic theory suggests that speculative trading can lead to instability in financial markets. Using a novel dataset … (speculative) trading on the volatility of the financial markets with a focus on the COVID-19 pandemic. Our tests are based on the …