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 … the IVOL anomaly in the Vietnam stock market before the pandemic. However, the IVOL anomaly disappears during the pandemic …

investor order flows contain information about future stock price movements. In terms of future liquidity and volatility …

March 2020 to examine two channels through which liquidity buffers can reduce procyclicality in the investment fund sector …. First, we find that liquidity buffers reduced outflows during March 2020 only to a limited extent. Second, we find that … funds entering the crisis with higher liquidity buffers were less likely to involve in cash hoarding and more likely to use …

We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when … considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U-shaped. Empirical tests using …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term … structure when considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volumes of older compared to younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or … U-shaped liquidity term structure from bid prices, and v) spill-overs of liquidity from short-term to long …

. Trading data from a large discount brokerage (Robinhood) confirm that retail investors acted as liquidity providers. The …

intervention, but normalizing the liquidity of other bonds required the second intervention. Liquidity measures were mostly back to …

This paper documents the liquidity-supplying behavior of High-Frequency Traders (HFT) during the abrupt and sustained … market decline led by the COVID-19 outbreak. The findings suggest that these endogenous liquidity providers reduce their … supply of liquidity in times of sustained market stress that lasted several days. The results are remarkably consistent for …