In a new environment where liquidity providers as well as liquidity consumers act strategically, understanding how … liquidity flows and dries-up is key. In this paper, we propose a dynamic extension of the seminal model of Tauchen and Pitts … in the context of liquidity frictions. In our model, the daily price change and volume processes are represented by a …

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

This paper shows how arbitrage activity contributes to the convergence of liquidity across markets. Based on simple … market liquidity between securities linked by arbitrage. I test these hypotheses on Canadian stocks cross-listed in the …

Spanish stock exchange and the liquidity of their stocks for the period of 2000 to 2010. Liquidity around the announcement day … is analyzed using different liquidity measures proposed by the equity market literature. The study also examines the … factors that determine the intensity of the announcement's effect on liquidity. The evidence shows that both positive and …

We conduct a field experiment to see if market liquidity has a causal effect on price efficiency and, if so, why. We … randomly provide liquidity in certain horse race betting markets, and not in others. We find that prices in treated markets are …

, this does not appear to have compromised liquidity. Overall, our results suggest that the improvements in transparency … find that, as a result of SEF trading, activity increases and liquidity improves across the swap market, with the … liquidity suggesting that execution costs may have fallen because dealer intermediation chains became shorter. Finally, we …

We trace the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis, when … appeal to these investors. The effect of the widened liquidity gap on transactions costs is further amplified by a surge in … the price liquidity providers charge for access to their balance sheets in the crisis …

incorporate to stock market modeling to prove the hypothesized the effectiveness of monetary policy on stock market liquidity in …