Market liquidity was studied during the financial crisis. Liquidity is affected when stock markets drop, especially deep in the order book. Liquidity commonality increases during market downturns and major crises, leading to market-wide liquidity issues. Tight funding liquidity can cause liquidity commonality, which then dries up market liquidity. Credit risk affects liquidity risk, with high credit quality stocks having lower liquidity costs. In times of uncertainty, the impact of credit risk on liquidity risk intensifies, showing a flight-to-quality or flight-to-liquidity trend on stock markets.