measurement of commonalities in liquidity and comovements of stocks and bid-ask spreads into the forecasting of three types of … liquidity-adjusted intraday Value-at-Risk (L-IVaR). In a preliminary analysis, we document strong extreme comovements in … liquidity and strong tail dependence between bid-ask spreads and log returns across the firms in our sample thus motivating our …

This paper examines the trading behavior of two groups of liquidity providers (specialists and competing market makers … market-wide measure of liquidity. A double sort using past trades of specialists and competing market makers produces a long …-short portfolio that earns 88 basis points per week (act as complements). Finally, we identify a “chain” of liquidity provision …

, transaction volumes and prices, and can be interpreted as liquidity measures. This approach allows us to highlight the intra …-day variations of liquidity, its costs and volatility, and to develop a liquidity based asset ordering. The extension to a … multivariate analysis yields new insights into the dynamics of portfolio liquidity by revealing various aspects of asset …

liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically …

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the … underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to … those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in …

This study investigates the impact of short-sales constraints on liquidity for individual stocks in Hong Kong, as the …: Following the repealing of short-sales constraints, only large, illiquid and inactively traded firms increase in liquidity …; while others significantly drop in prices and liquidity. Following the imposing of short-sales constraints, only inactively …

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …

impact of illiquidity and transaction costs is almost lethal. After accounting for varying bid-ask spreads and liquidity …