Disclosure and Liquidity in a Driven by Orders Market: Empirical Evidence from Panel Data

Investigaciones Economicas, Vol. 23, No. 3, pp. 339-370, 2008

Posted: 6 Feb 2009

See all articles by Monica Espinosa Blasco

Monica Espinosa Blasco

Universidad de Alicante - Faculty of Economic and Business Sciences

Mikel Tapia

Universidad Carlos III de Madrid - Department of Business Administration

Marco Trombetta

IE Business School - IE University

Date Written: May 13, 2008

Abstract

The purpose of this paper is to study the relationship between disclosure and liquidity. Previous empirical tests have focused only on US markets and have used standard least square estimation techniques even in the presence of panel data. We analyse a market (Madrid Stock Exchange) with special institutional features and use proper panel data techniques.

We provide evidence in favour of a positive relationship between disclosure and liquidity. Our results prove that this positive relationship is robust to different market architectures and to the use of different liquidity measures.

Keywords: Disclosure, Liquidity, Market Microstructure

JEL Classification: G12, G15, M41, M45, M47

Suggested Citation

Espinosa Blasco, Monica and Tapia, Mikel and Trombetta, Marco, Disclosure and Liquidity in a Driven by Orders Market: Empirical Evidence from Panel Data (May 13, 2008). Investigaciones Economicas, Vol. 23, No. 3, pp. 339-370, 2008, Available at SSRN: https://ssrn.com/abstract=1338669

Monica Espinosa Blasco

Universidad de Alicante - Faculty of Economic and Business Sciences ( email )

Germán Edifcio Bernácer - Ground floor
Campus of San Vicente del Raspeig
Alicante, 03080
Spain

Mikel Tapia

Universidad Carlos III de Madrid - Department of Business Administration ( email )

Calle Madrid 126
Getafe, Madrid, Madrid 28903
Spain

Marco Trombetta (Contact Author)

IE Business School - IE University ( email )

Calle Maria de Molina 12
Madrid, Madrid 28006
Spain

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