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Commonalities in Liquidity in Pure Order-Driven Markets


Daniel L. Mayston


University of Cologne - Department of Finance

Alexander Kempf


University of Cologne - Department of Finance & Centre for Financial Research (CFR)
February 2005


Abstract:     
This paper investigates commonality in liquidity for electronic limit order markets. We use order book data from the electronic trading facility for German equities. We employ conventional spread and depth measures as liquidity proxies, parameter estimates of the price impact function as well as multi-dimensional measures of price impacts and associated quoted volumes. We document substantial common movements in liquidity. The data provides evidence that commonalities are stronger deeper in the order book than around best quotes alone.

Number of Pages in PDF File: 39

Keywords: Market Microstructure, Order-Driven Markets, Liquidity Commonalities

JEL Classification: G10, G14

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Date posted: March 9, 2005  

Suggested Citation

Mayston, Daniel L. and Kempf, Alexander, Commonalities in Liquidity in Pure Order-Driven Markets (February 2005). Available at SSRN: http://ssrn.com/abstract=676964 or http://dx.doi.org/10.2139/ssrn.676964

Contact Information

Daniel L. Mayston (Contact Author)
University of Cologne - Department of Finance ( email )
Albertus-Magnus-Platz
Cologne, 50923
Germany
0049-221-4707711 (Phone)
0049-221-4703992 (Fax)
HOME PAGE: http://www.wiso.uni-koeln.de/finanzierung
Alexander Kempf
University of Cologne - Department of Finance & Centre for Financial Research (CFR) ( email )
Cologne, 50923
Germany
+49 221 470 2714 (Phone)
+49 221 470 3992 (Fax)
Feedback to SSRN (Beta)


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