We examine the dynamics and the drivers of market liquidity during the financial crisis, using
a unique volume-weighted spread measure. According to the literature we find that market …

Purpose The purpose of this study is to systematically review and analyze the literature in
the area of liquidity of financial markets. The study summarizes the key findings and …

We investigate whether and how ex-ante liquidity risk affects realized stock returns during
the global financial crisis of 2008–2009 in international equity markets. We find that stocks …

The recent financial crisis has been characterized by unprecedented monetary policy
interventions of central banks with the intention to stabilize financial markets and the real …

This paper examines the relationship between stock market liquidity, which proxies for the
implicit cost of trading shares, with macroeconomic conditions. We provide evidence that …

We analyse the dynamics of liquidity in an electronic limit order book using the Exchange
Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. We use …

Purpose This study aims to provide a systematic literature review of the research study in the
area of limit order book (LOB) mechanism of trading and its implications for market …

This study investigates the country-level determinants of liquidity synchronization and
degrees of liquidity synchronization during economic growth volatility. As a non-diversifiable …

This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using
a limited order book data from 1996 to 2003. Strong evidence is found for market-wide …

Previous studies support the hypothesis that institutional ownership leads to an enhanced
systematic liquidity risk by increasing the commonality in liquidity. By using a proprietary …