SSRN-The Liquidity of Liquid Markets During the Financial Crisis by Craig Furfine

SSRN-The Liquidity of Liquid Markets During the Financial Crisis by Craig Furfine:

"We measure changes to trading volumes, spreads, the level and shape of order books, and the price impact of a trade and document that these traditional measures imply a noticeable withdrawal of liquidity from Eurodollar futures markets, which previously could have been argued to be one of the most liquid financial markets in the world. By contrast, liquidity in another liquid market, S&P 500 index futures, was far less affected. Trading volume of S&P futures actually rose substantially, spreads and order books changed by only a fraction of what was witnessed in Eurodollars, and price impacts were largely unaffected."

Interesting! Have to think through the "why".