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 analyse the impact of the introduction of the French Tobin tax on volumes, liquidity and volatility of a ected …

liquidity is self-fulfilling: A perception of future illiquidity creates current illiquidity. …

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 dynamics of stock market liquidity in the energy industry in the US for 130 firms for the … liquidity measures, namely turnover, price impact and spread. In addition, we account for oil prices in this model. The … liquidity measures exhibit a persistent (highly autocorrelated) pattern. The intensity of trading appears to be relevant for the …

and liquidity are robust to different ways of categorizing value and growth stocks used in the existing literature …

This study addresses the impact of equity market liquidity on Canadian economic growth and investigates how consumer … attitudes/sentiments affect the dynamic macro-liquidity relationship. Using various market liquidity proxies (e.g., illiquidity … results: we document the predictability role of liquidity on future economic growth, and we find that during periods of high …

This paper examines how liquidity affects market efficiency in a market environment where securities' true values are … source of exogenous variation in liquidity. The results show that liquidity significantly decreases market efficiency for … weekends than on weekdays, our results indicate that the type of liquidity matters for market efficiency. …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …