We examine the impact of reported insider trading on market liquidity, as measured by an order-size-dependent volume-weighted spread measure, which is called Xetra liquidity measure (XLM). This relationship is scrutinized for the German market both in an event study framework and through a panel...

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

We examine the relation between market liquidity and ownership concentration and the effect of different types of blockholders on stock market liquidity in Germany. For the overall sample high ownership concentration is negatively related to market liquidity as measured by an...

We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a positive relation between market and liquidity...