{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T17:36:23Z","timestamp":1792863383012,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":37,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This study examines when bond and listed-derivatives information adds incremental out-of-sample value for forecasting equity liquidity once each stock&amp;apos;s own liquidity state is observed. Using 2,197 National Stock Exchange (NSE) equities covering 98.5% of observed market capitalisation, the analysis combines daily equity price-impact measures with NSE equity-derivatives activity and Reserve Bank of India government-security turnover from 2016 to 2025. Primary outcomes are non-overlapping next-period Amihud illiquidity measures at daily, weekly and monthly horizons. Market-level cross-asset augmentation reduces XGBoost R2 by 0.0047, 0.0094 and 0.0073 across these horizons. This redundancy persists under separately tuned XGBoost models and is not overturned by OLS, LASSO or rolling-origin tests. Information granularity changes the result. Among 251 derivative-linked equities with complete own-underlying derivatives histories, own-underlying NSE derivatives activity improves next-day liquidity R2 by 0.00815 (95% block-bootstrap interval 0.00561 to 0.01037; p = 0.002), while aggregate NSE derivatives activity worsens prediction on the same sample. The gain becomes imprecise weekly and disappears monthly. Historical-event tests similarly show no pooled stress effect but selected horizon-specific gains. The evidence identifies a broadly relevant financial mechanism: market-wide cross-asset information can be redundant once common signals are absorbed into the target market, while security-linked derivatives activity represents a distinct same-underlying information channel that can retain short-lived incremental information when measured closer to firm-specific information or hedging demand.<\/jats:p>","DOI":"10.2139\/ssrn.7665707","type":"posted-content","created":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T16:47:05Z","timestamp":1792860425000},"source":"Crossref","is-referenced-by-count":0,"title":["When Does Cross-Asset Information Matter for Stock-Market Liquidity?Granularity, Timing and Forecasting Evidence from India"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0613-7545","authenticated-orcid":true,"given":"Saurabh","family":"Dasgupta","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"2","key":"ref1","doi-asserted-by":"crossref","first-page":"375","DOI":"10.1016\/j.jfineco.2004.06.007","article-title":"Asset pricing with liquidity risk","volume":"77","author":"V V Acharya","year":"2005","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"ref2","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/S1386-4181(01)00024-6","article-title":"Illiquidity and stock returns: cross-section and time-series effects","volume":"5","author":"Y Amihud","year":"2002","journal-title":"Journal of Financial Markets"},{"key":"ref3","doi-asserted-by":"crossref","DOI":"10.1016\/j.finmar.2020.100559","article-title":"Cross-market liquidity and dealer profitability: evidence from the bond 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