This study investigates the dynamics of stock market liquidity in the energy industry in the US for 130 firms for the period 2006–2011. We use a (structural) vector autoregression approach to model the simultaneous relationships between three liquidity measures, namely turnover, price impact...

We investigate the impact of oil price shocks at the industry level in the Euro area for the period 1983–2007. We use different oil price specifications and use dynamic VAR models and multivariate regression to investigate how 38 different industries respond to oil price shocks. We pay...