1 Introduction

2 Why is market liquidity important?
2.1 A selected discussion on asset-pricing implications

3 Volume-based liquidity measures

4 Price-variability indices

5 Measures based on transaction costs
5.1 The bid-ask spread
5.2 A measure of implied spread
5.3 The role of asymmetric information
5.4 The relation between inventory and adverse-information effects
5.5 The model of Stoll (1989)