| Table of contents | Page |
| List of workshop participants | iii |
| Session I - Stock markets | |
| Overview: market structure issues in market liquidity: Maureen O'Hara (Cornell University) | 1 |
| Events that shook the market: Ray C Fair (Yale University) | 9 |
| Comments: Eloy Lindeijer (De Nederlandsche Bank) | 25 |
| Giuseppe Grande (Banca d'Italia) | 27 |
| Information flows during the Asian crisis: evidence from
closed-end funds: Benjamin H Cohen and Eli M Remolona (Bank for International Settlements) | 30 |
| Comments: Tatsuya Yonetani (Bank of Japan) | 71 |
| Torben G Andersen (Northwestern University) | 73 |
| Session II - Bond markets | |
| Estimating liquidity premia in the Spanish Government
securities market: Francisco Alonso, Roberto Blanco, Ana del Río and Alicia Sanchís (Banco de España) | 79 |
| Comments: Christian Upper (Deutsche Bundesbank) | 108 |
| Oreste Tristani (European Central Bank) | 110 |
| Does market transparency matter? A case study: Antonio Scalia and Valerio Vacca (Banca d'Italia) | 113 |
| Comments: Agnes Van den Berge (Banque Nationale de Belgique) | 141 |
| Peter Rappoport (JP Morgan) | 143 |
| Special session - Panel discussion | |
| Short introduction on the work of the Johnson group: Eloy Lindeijer (De Nederlandsche Bank) | 147 |
| Market liquidity under stress: observations from the FX
market: Francis Breedon (Lehman Brothers) | 149 |
| The puzzling decline in financial market liquidity: Avinash Persaud (State Street) | 152 |
| Measuring liquidity under stress: Christian Upper (Deutsche Bundesbank) | 159 |
| Session III - Foreign exchange markets | |
| Order flow and exchange rate dynamics: Martin D D Evans (Georgetown) and Richard K Lyons (University of California, Berkley) | 165 |
| Comments: Eric Jondeau (Banque de France) | 192 |
| Robert N McCauley (Bank for International Settlements) | 194 |
| Trading volumes, volatility and spreads in FX markets:
evidence from emerging market countries: Gabriele Galati (Bank for International Settlements) | 197 |
| Comments: Javiera Ragnartz (Sveriges Riksbank) | 226 |
| Alain Chaboud (Federal Reserve System) | 229 |
| Other papers | |
| Sending the herd off the cliff edge: the disturbing
interaction between herding and market-sensitive risk management practices: Avinash Persaud (State Street) | 233 |
| How safe was the "Safe Haven"? Financial market liquidity
during the 1998 turbulences: Christian Upper (Deutsche Bundesbank) | 241 |
| FX impact of cross-border M & A: Francis Breedon and Francesca Fornasari (Lehman Brothers) | 267 |