i would like the effect on a more liquidity asset or less liquidity. This means that a more liquid asset the price would move faster? o slower? What are the diferrence beetween both?
I think you'll find that less liquid assets price would tend to jump around a bit and be more erratic
To add, I would think from a purely statistical view that more liquidity is essentially a larger sample size of what people believe about a price. The price would become more efficient, moving from point A to B, with less volatility. Simple Google search you may find interesting: http://education.investors.com/investors-corner/426613-higher-liquidity-equals-lower-volatility.htm