Nonparametric determinants of market liquidity

Market Makers' Supply and Pricing of Financial Market Liquidity

The Market Liquidity Impact of Open Market Share Repurchases

Internal control reporting and market liquidity

Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market

Slopes, Spreads, and Depth: Monetary Policy Announcements and Liquidity Provision in the Energy Futures Market

Determinants of Liquidity in Open Electronic Limit Order Book Market

One of the many consequences of financialization in the past decades has been the significant appreciation of the importance of financial markets' liquidity. In order to maintain financial stability, one must have a clear understanding of the sources of market liquidity (ML). A finer comprehension of liquidity and its direction would help policy makers in fine-tuning the current regulations while also identifying each of the elements that compose it. In this paper, a recursive vector autoregressive model is utilized to empirically analyze how to detect the causality relations between funding and ML in four post-communist countries (Czech Republic, Hungary, Slovakia and Poland). For the analyses freely accessible data on the balance sheets of aggregated banking sectors was utilized with the overall aim of finding a proxy for funding liquidity (FL) in every examined country. As a proxy for ML, government bonds' bid-ask spreads were utilized in the model. The paper provides an empirical evidence that FL drives ML in each economy. The results are clear, statistically significant and robust. They can be understood as evidence for the importance of the role of the trader's FL for the liquidity of financial assets' markets. The results of the paper have important implications for monetary policy, as well as micro- and macro-prudential regulation.

This study explores the impact of high-frequency trading (HFT) on financial markets in Kenya compared to established economies like the United States and Europe. Through a comparative analysis, the research highlights significant differences in market liquidity, regulatory frameworks, technological infrastructure, investor behavior, and price volatility. The findings indicate that while HFT generally enhances liquidity in developed markets by narrowing bid-ask spreads, its introduction in Kenya may not yield similar benefits due to historically lower trading volumes and limited participation. The regulatory environment in Kenya is underdeveloped, posing challenges for effective oversight and risk management, in contrast to the comprehensive frameworks in established markets. Technological disparities further hinder local firms from competing effectively in HFT, as essential infrastructure such as low-latency data feeds and co-location services is lacking. Moreover, the impact of HFT on market behavior in Kenya is less pronounced, with insufficient competitive pressure for traditional investors to adopt algorithmic strategies. Concerns about increased price volatility in Kenya are heightened by inadequate regulatory safeguards, potentially leading to market instability. The study emphasizes the need for tailored regulatory approaches and technological investments to harness HFT's potential benefits while mitigating associated risks in emerging markets.

Liquidity is a vital feature of any financial market. It reflects the attractiveness of a capital market and the confidence of investors. Malaysia is an emerging market, where family firms control 65% of firms, while government-linked corporation dominated 70% of market capitalization. This research aims to investigate the relationship between ownership structure, namely family ownership, conglomerate ownership, government ownership, foreign ownership, and dispersed ownership, towards market liquidity, measured as bid-ask spread. The study uses a total sample of 206 Malaysia manufacturing firms from 2011 to 2015. Despite the findings that show family, government, and dispersed ownership have an insignificant positive relationship with the bid-ask spread, and these imply the severity of information asymmetry despite its significant is lesser. However, conglomerate ownership and foreign ownership significantly and negatively affecting bid-ask spread, suggesting a lower agency cost and information asymmetry in this market. A lower conglomerate firm’s bid-ask spread indicates the creation of an internal capital market which reduce agency cost in this structure. The negative and significant relationship in foreign ownership suggesting foreigner investors emphasis the value of transparency and reduce the cost of the transaction in the market. The research provides theoretical implications about the determinants that affect the bid-ask spread and thus affect the market liquidity. The study provides the insights to the understanding of the influences of the ownership structure to the market liquidity.

Option Market Liquidity: Commonality and Other Characteristics

The Impact of Increased Accounting Disclosure on Information Asymmetry: A Case of Implementing New Auditing Standards in Emerging Markets

Are Changes in Public and Private Information Precision Related to Changes in Market Liquidity Around Earnings Announcements?

Quantifying the Effects of New Derivative Introduction on Exchange Volatility, Efficiency and Liquidity

Jump Risk and Option Liquidity in an Incomplete Market

Public News and Market Liquidity: Evidence from the CDS Market