Commonalities in Liquidity in Pure Order-Driven Markets
Daniel L. Mayston
University of Cologne - Department of Finance
University of Cologne - Department of Finance & Centre for Financial Research (CFR)
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, G14working papers series
Date posted: March 9, 2005
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