This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …

but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions … support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and …

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

(resp. low). However the quality of this signal and market liquidity are different in each market design. We test these …

futures market, but rather interacts with price risk, liquidity risk, and the risk aversion of the market maker. The … liquidity link between spot and futures markets. Our results provide no evidence in favor of the substitution hypothesis. …