Market liquidity: proceedings of a workshop held at the BIS

BIS Papers No 2
April 2001

Papers in this volume were prepared for a meeting held at the Bank for International Settlements on 7 August 2000.

Session I - Stock markets

Overview: market structure issues in market liquidity
Events that shook the market
Information flows during the Asian crisis: evidence from closed-end funds

Session II - Bond markets

Estimating liquidity premia in the Spanish Government securities market
Does market transparency matter? A case study

Special session - Panel discussion

Short introduction on the work of the Johnson group
Market liquidity under stress: observations from the FX market
The puzzling decline in financial market liquidity
Measuring liquidity under stress

Session III - Foreign exchange markets

Order flow and exchange rate dynamics
Trading volumes, volatility and spreads in FX markets: evidence from emerging market countries

Other papers

Sending the herd off the cliff edge: the disturbing interaction between herding and market-sensitive risk management practices
How safe was the "Safe Haven"? Financial market liquidity during the 1998 turbulences
FX impact of cross-border M & A