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Do Margins Contribute to Market Illiquidity? Evidence from the S&P 500 Futures

https://doi.org/10.2139/ssrn.4757384
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inferredcites →https://doi.org/10.1002/fut.21718openalex-extracted
The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange
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Combining forecasts: A review and annotated bibliography
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Optimal dealer pricing under transactions and return uncertainty
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Financial econometric analysis at ultra-high frequency: Data handling concerns
inferredcites →https://doi.org/10.1016/j.finmar.2021.100689openalex-extracted
Contagious margin calls: How COVID-19 threatened global stock market liquidity
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.034openalex-extracted
Volatility forecast comparison using imperfect volatility proxies
inferredcites →https://doi.org/10.1016/j.jeconom.2019.12.002openalex-extracted
Liquidity and volatility in the U.S. Treasury market
inferredcites →https://doi.org/10.1016/j.jfineco.2005.04.005openalex-extracted
Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
inferredcites →https://doi.org/10.1016/j.jfineco.2011.10.004openalex-extracted
Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy
inferredcites →https://doi.org/10.1016/j.jfineco.2014.05.008openalex-extracted
Uncertainty, market structure, and liquidity
inferredcites →https://doi.org/10.1016/j.jfineco.2019.04.006openalex-extracted
The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy
inferredcites →https://doi.org/10.1016/s0304-405x(01)00078-2openalex-extracted
Convergence trading with wealth effects: an amplification mechanism in financial markets
inferredcites →https://doi.org/10.1016/s0304-405x(02)00228-3openalex-extracted
Equilibrium and welfare in markets with financially constrained arbitrageurs
inferredcites →https://doi.org/10.1016/s1574-0706(05)01004-9openalex-extracted
Chapter 4 Forecast Combinations
inferredcites →https://doi.org/10.1093/rfs/hhi010openalex-extracted
An Empirical Analysis of Stock and Bond Market Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhn098openalex-extracted
Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhr114openalex-extracted
Hedge Fund Stock Trading in the Financial Crisis of 2007-2009
inferredcites →https://doi.org/10.1093/rfs/hhu016openalex-extracted
Illiquidity Contagion and Liquidity Crashes
inferredcites →https://doi.org/10.1093/rof/rfaa016openalex-extracted
What Constrains Liquidity Provision? Evidence from Institutional Trades
inferredcites →https://doi.org/10.1093/rof/rft033openalex-extracted
Do Hedge Funds Supply or Demand Liquidity?
inferredcites →https://doi.org/10.1111/0022-1082.00335openalex-extracted
Market Liquidity and Trading Activity
inferredcites →https://doi.org/10.1111/0022-1082.00373openalex-extracted
Contagion as a Wealth Effect
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb02683.xopenalex-extracted
Inferring Trade Direction from Intraday Data
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01529.xopenalex-extracted
Stock Market Declines and Liquidity
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01530.xopenalex-extracted
Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues
inferredcites →https://doi.org/10.1111/jofi.12507openalex-extracted
Trader Leverage and Liquidity
inferredcites →https://doi.org/10.1198/073500102753410444openalex-extracted
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.1257/aer.97.2.193openalex-extracted
Liquidity and Risk Management
inferredcites →https://doi.org/10.1287/mnsc.2021.4053openalex-extracted
Funding Liquidity and Market Liquidity: The Broker-Dealer Perspective
inferredcites →https://doi.org/10.2139/ssrn.1462315openalex-extracted
Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy
inferredcites →https://doi.org/10.2139/ssrn.1573164openalex-extracted
Evaporating Liquidity
inferredcites →https://doi.org/10.2139/ssrn.3646431openalex-extracted
Contagious Margin Calls: How COVID-19 Threatened Global Stock Market Liquidity
inferredcites →https://doi.org/10.2139/ssrn.3761873openalex-extracted
Leverage and Margin Spirals in Fixed Income Markets during the COVID-19 Crisis
inferredcites →https://doi.org/10.2307/2297912openalex-extracted
Automatic Lag Selection in Covariance Matrix Estimation
inferredcites →https://doi.org/10.2307/2330686openalex-extracted
The Microeconomics of Market Making
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