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book increases liquidity. We analyze whether the presence of additional DMMs results in a further improvement in liquidity …. Using data from Deutsche Börse's Xetra system we find that increases in the number of DMMs significantly improve liquidity …
Persistent link: https://www.econbiz.de/10013454739
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 …
Persistent link: https://www.econbiz.de/10010308662
differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …
Persistent link: https://www.econbiz.de/10010302551
This dissertation is built around three separate papers that research several aspects of stock market liquidity. All … three papers use the innovative XLM (Exchange Liquidity Measure) data to measure the liquidity. The first paper entitled … Does Screen Trading Weather the Weather? A Note on Cloudy Skies, Liquidity and Computerized Stock Markets tests for the …
Persistent link: https://www.econbiz.de/10010302709
market liquidity are different in each market design. We test these predictions using a natural experiment. As of April 23 …
Persistent link: https://www.econbiz.de/10010333878
This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of … mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate … robust with respect to the order book depth at which liquidity is measured. …
Persistent link: https://www.econbiz.de/10010484696
surprises, which suggests that private information does not hinder CDS liquidity. …
Persistent link: https://www.econbiz.de/10010491359
This survey reviews the economic thoughts about what and why do institutional market players lose because of the existing market frictions and particular financial market microstructures compared to walrasian markets. Within a unified microeconomic framework, we introduce the most common...
Persistent link: https://www.econbiz.de/10010494600
. We exploit this quasi{ natural experiment to investigate the impact this change had on liquidity and trading behavior …
Persistent link: https://www.econbiz.de/10011442875
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 …
Persistent link: https://www.econbiz.de/10012026516