This study is conducted to shed more lights on the relationship between volatility and liquidity in the Indonesia Stock … volatility, measured by realized volatility, and liquidity, measured by high-low spread estimator. We found inconsistent … relationship between liquidity and volatility in the IDX. Further, we also found that the liquidity is important in the asset …

, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts …

This study examines the dynamic liquidity provision process by institutional and individual traders in the Taiwan index … find that trader type affects liquidity provision in a number of interesting ways. First, although institutional traders … are positively related to one-period lagged transitory volatility and negatively related to informational volatility …