The surviving legacy of the Long Term Capital debacle of October 1998 is an
increased preference for liquidity among international investors. This process has
a self-fulfilling element with liquidity following investors out of the less liquid
markets and into the more liquid. A closer examination of this issue, however,
suggests liquidity is not just an issue of size. There is some evidence that some markets have become bigger, yet thinner. In this paper the author focuses on the characteristics that can be used to better identify liquidity risk when a crisis hits.