This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihud (2002), the volume … common law origin. The evidence suggests that the Amihud construct outperforms other liquidity measures in Africa while the … Amihud and Liu measures are better in London and Paris. Furthermore the incorporation of size, liquidity and legal regime …

We show that very little is needed to create liquidity under-supply in equilibrium. Credit constraints on demand by … themselves can cause an under-supply of liquidity, without the uncertainty, intermediation, asymmetric information or complicated …