Chordia, Sarkar, and Subrahmanyam analyze stock and bond market liquidity using a vector autoregressive model. They find that liquidity shocks in one market affect both markets, and that return volatility significantly influences liquidity. Innovations in liquidity and volatility are positively correlated, suggesting common factors drive both. Monetary expansion increases equity market liquidity during financial crises, while unexpected changes in the federal funds rate affect liquidity and volatility. Fund flows to stock and bond sectors play a key role in forecasting liquidity. The study links "macro" liquidity (money flows) to "micro" liquidity (transactions). The results show that liquidity exhibits co-movement across asset classes and is influenced by common factors like systemic shocks to volatility, returns, and trading activity. The paper explores the joint dynamics of liquidity, trading activity, returns, and volatility in stock and U.S. Treasury bond markets. It finds that liquidity in both markets is affected by common factors, and that monetary policy and fund flows influence liquidity and volatility. The study concludes that money flows account for part of the commonality in stock and bond market liquidity.Chordia, Sarkar, and Subrahmanyam analyze stock and bond market liquidity using a vector autoregressive model. They find that liquidity shocks in one market affect both markets, and that return volatility significantly influences liquidity. Innovations in liquidity and volatility are positively correlated, suggesting common factors drive both. Monetary expansion increases equity market liquidity during financial crises, while unexpected changes in the federal funds rate affect liquidity and volatility. Fund flows to stock and bond sectors play a key role in forecasting liquidity. The study links "macro" liquidity (money flows) to "micro" liquidity (transactions). The results show that liquidity exhibits co-movement across asset classes and is influenced by common factors like systemic shocks to volatility, returns, and trading activity. The paper explores the joint dynamics of liquidity, trading activity, returns, and volatility in stock and U.S. Treasury bond markets. It finds that liquidity in both markets is affected by common factors, and that monetary policy and fund flows influence liquidity and volatility. The study concludes that money flows account for part of the commonality in stock and bond market liquidity.