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Market Liquidity: Theory, Evidence and Policy

Citations

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Cited by:

  1. Klova, Valeriia & Odegaard, Bernt Arne, 2018. "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance 2018/4, University of Stavanger, revised 2019.
  2. Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
  3. Mark D. Flood & John C. Liechty & Thomas Piontek, 2015. "Systemwide Commonalities in Market Liquidity," Working Papers 15-11, Office of Financial Research, US Department of the Treasury.
  4. Havran, Dániel & Váradi, Kata, 2016. "A limitáras ajánlatok szerkezete és dinamikája a Budapesti Értéktőzsdén. Az OTP- és a Mol-részvények esete [The structure and dynamics of limit orders on the Budapest stock exchange: The cases of O," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 966-992.
  5. Zimmerman, Peter, 2020. "Blockchain structure and cryptocurrency prices," Bank of England working papers 855, Bank of England.
  6. Andrea Barbon & Angelo Ranaldo, 2021. "On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges," Papers 2112.07386, arXiv.org, revised Dec 2021.
  7. Cespa, Giovanni & Vives, Xavier, 2011. "Expectations, Liquidity, and Short-term Trading," CEPR Discussion Papers 8303, C.E.P.R. Discussion Papers.
  8. IKEDA Shin Suke, 2017. "Illiquidity in the Japan Electric Power Exchange," Discussion papers 17122, Research Institute of Economy, Trade and Industry (RIETI).
  9. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
  10. Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2017. "ESBies: safety in the tranches," Economic Policy, CEPR;CES;MSH, vol. 32(90), pages 175-219.
  11. Alexander Bechtel & Angelo Ranaldo & Jan Wrampelmeyer, 2019. "Liquidity Risk and Funding Cost," Working Papers on Finance 1903, University of St. Gallen, School of Finance, revised Aug 2020.
  12. Miriello, Caterina & Polo, Michele, 2015. "The development of gas hubs in Europe," Energy Policy, Elsevier, vol. 84(C), pages 177-190.
  13. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
  14. Auer, Benjamin R. & Rottmann, Horst, 2019. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Journal of Economics and Business, Elsevier, vol. 103(C), pages 61-79.
  15. Ingomar Krohn & Philippe Mueller & Paul Whelan, 2021. "Foreign Exchange Fixings and Returns Around the Clock," Staff Working Papers 21-48, Bank of Canada.
  16. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
  17. Gehrig, Thomas & Haas, Marlene, 2014. "Lehman Brothers: What Did Markets Know?," CEPR Discussion Papers 9893, C.E.P.R. Discussion Papers.
  18. Grimstvedt Meling, Tom, 2017. "Anonymous trading in equities," Working Papers in Economics 7/17, University of Bergen, Department of Economics.
  19. Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
  20. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
  21. Xinhui Yang & Jie Zhang & Qing Ye, 2020. "Tick size and market quality: Simulations based on agent‐based artificial stock markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(3), pages 125-141, July.
  22. Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017. "Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate," Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
  23. Chen, Xiaohong & Linton, Oliver & Schneeberger, Stefan & Yi, Yanping, 2019. "Semiparametric estimation of the bid–ask spread in extended roll models," Journal of Econometrics, Elsevier, vol. 208(1), pages 160-178.
  24. Harald Oberhofer & Christian Glocker & Werner Hölzl & Peter Huber & Serguei Kaniovski & Klaus Nowotny & Michael Pfaffermayr & Monique Ebell & Nikolaos Kontogiannis, 2016. "Single Market Transmission Mechanisms Before, During and After the 2008-09 Crisis. A Quantitative Assessment," WIFO Studies, WIFO, number 59156.
  25. Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," CeMMAP working papers CWP12/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  26. Hwang, Hae-shin & Jindapon, Paan, 2020. "Market making with convex quotes," Finance Research Letters, Elsevier, vol. 37(C).
  27. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
  28. Nagar, Venky & Schoenfeld, Jordan & Wellman, Laura, 2019. "The effect of economic policy uncertainty on investor information asymmetry and management disclosures," Journal of Accounting and Economics, Elsevier, vol. 67(1), pages 36-57.
  29. Filip Zikes, 2017. "Measuring Transaction Costs in the Absence of Timestamps," Finance and Economics Discussion Series 2017-045, Board of Governors of the Federal Reserve System (U.S.).
  30. Alexander Brauneis & Roland Mestel & Ryan Riordan & Erik Theissen, 2018. "A High-Frequency Analysis of Bitcoin Markets," Working Paper Series, Social and Economic Sciences 2018-06, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  31. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2017. "The Price Effects of Liquidity Shocks: A Study of SEC's Tick-Size Experiment," CEPR Discussion Papers 12486, C.E.P.R. Discussion Papers.
  32. Thomas Richter, 2021. "Central Counterparties and Liquidity Provision in Cash Markets," JRFM, MDPI, vol. 14(12), pages 1-26, December.
  33. Evangelos Benos & Wenqian Huang & Albert Menkveld & Michalis Vasios, 2019. "The cost of clearing fragmentation," BIS Working Papers 826, Bank for International Settlements.
  34. Cheung, William Mingyan & Chung, Richard & Fung, Scott, 2015. "The effects of stock liquidity on firm value and corporate governance: Endogeneity and the REIT experiment," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 211-231.
  35. Giovanni Petrella & Andrea Resti, 2016. "An empirical analysis of Eurozone government bonds liquidity: Determinants, predictability and implications for the new bank prudential rules," BAFFI CAREFIN Working Papers 1645, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  36. Edward W. Sun & Timm Kruse & Yi-Ting Chen, 2019. "Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity," Annals of Operations Research, Springer, vol. 281(1), pages 315-347, October.
  37. Rösch, Dominik, 2021. "The impact of arbitrage on market liquidity," Journal of Financial Economics, Elsevier, vol. 142(1), pages 195-213.
  38. Fuhrer, Lucas Marc, 2018. "Liquidity in the repo market," Journal of International Money and Finance, Elsevier, vol. 84(C), pages 1-22.
  39. Griffith, Todd G. & Roseman, Brian S., 2019. "Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 104-121.
  40. Valseth, Siri, 2020. "Informed trading in hybrid bond markets," Global Finance Journal, Elsevier, vol. 44(C).
  41. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
  42. Petrella, Giovanni & Resti, Andrea, 2017. "What drives the liquidity of sovereign bonds when markets are under stress? An assessment of the new Basel 3 rules on bank liquid assets," Journal of Financial Stability, Elsevier, vol. 33(C), pages 297-310.
  43. Vaidya, Tushar & Chotibut, Thiparat & Piliouras, Georgios, 2021. "Broken detailed balance and non-equilibrium dynamics in noisy social learning models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
  44. Koptyug, Nikita & Persson, Lars & Tåg, Joacim, 2020. "Should we worry about the decline of the public corporation? A brief survey of the economics and external effects of the stock market," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  45. repec:hrv:hksfac:35165081 is not listed on IDEAS
  46. Olbrys, Joanna & Mursztyn, Michal, 2019. "Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  47. Olbrys, Joanna & Mursztyn, Michal, 2019. "Measuring stock market resiliency with Discrete Fourier Transform for high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 248-256.
  48. Valseth, Siri, 2016. "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance 2016/13, University of Stavanger.
  49. Angad Singh, 2021. "A Model of Market Making and Price Impact," Papers 2101.01388, arXiv.org.
  50. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2017. "The amazing power of dimensional analysis: Quantifying market impact," Papers 1702.05434, arXiv.org, revised Sep 2017.
  51. Daragh Clancy & Peter G. Dunne & Pasquale Filiani, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Working Papers 41, European Stability Mechanism.
  52. Mohammad Jahan-Parvar & Filip Zikes, 2019. "When do low-frequency measures really measure transaction costs?," Finance and Economics Discussion Series 2019-051, Board of Governors of the Federal Reserve System (U.S.).
  53. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
  54. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
  55. Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021. "Estimation of a nonparametric model for bond prices from cross-section and time series information," Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
  56. Comerton-Forde, Carole & Jones, Charles M. & Putniņš, Tālis J., 2016. "Shorting at close range: A tale of two types," Journal of Financial Economics, Elsevier, vol. 121(3), pages 546-568.
  57. Dulani Seneviratne & Mr. Fei Han, 2018. "Scarcity Effects of Quantitative Easing on Market Liquidity: Evidence from the Japanese Government Bond Market," IMF Working Papers 2018/096, International Monetary Fund.
  58. Abad, David & Massot, Magdalena & Pascual, Roberto, 2018. "Evaluating VPIN as a trigger for single-stock circuit breakers," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 21-36.
  59. Stefan Arping, 2015. "Banks and Market Liquidity," Tinbergen Institute Discussion Papers 15-020/IV, Tinbergen Institute.
  60. Nagar, Venky & Schoenfeld, Jordan, 2021. "Shareholder monitoring and discretionary disclosure," Journal of Accounting and Economics, Elsevier, vol. 72(1).
  61. Gehrig, Thomas & Haas, Marlene, 2016. "Anomalous Trading Prior to Lehman Brothers' Failure," CEPR Discussion Papers 11194, C.E.P.R. Discussion Papers.
  62. Kariv, Shachar & Kotowski, Maciej H. & Leister, C. Matthew, 2018. "Liquidity risk in sequential trading networks," Games and Economic Behavior, Elsevier, vol. 109(C), pages 565-581.
  63. Dennis, Patrick J. & Sandås, Patrik, 2020. "Does Trading Anonymously Enhance Liquidity?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(7), pages 2372-2396, November.
  64. Daniel Havran & Kata Varadi, 2015. "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," CERS-IE WORKING PAPERS 1540, Institute of Economics, Centre for Economic and Regional Studies.
  65. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  66. Lilian de Menezes & Marianna Russo & Giovanni Urga, 2016. "Identifying Drivers of Liquidity in the NBP Month-ahead Market," EcoMod2016 9570, EcoMod.
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