However, evidence on this front is difficult to gather. Some argue that market liquidity is resilient because financial markets appear to have functioned fairly well during recent episodes of high market volatility, such as following the Brexit vote or earlier this year, when oil prices were low and stock market volatility was high. Others argue that it is not.
The first thing to say is that the distinction is in my view somewhat artificial. In concept, the micro/macro distinction corresponds roughly to the difference between idiosyncratic risk and market risk in finance theory. One refers to risk specific to a firm and the other to risks affecting all firms.