Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on...

Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved...

This paper analyzes the drivers of bond market liquidity. The use of a unique data set of global covered bonds allows to reveal three effects which have not been in the focus before: primary market supply, initial demand and allocation, and seasonality. Liquidity is elevated around the issue...

This study documents that asset purchase programs can dampen market liquidity. It uses a unique dataset of global euro-denominated covered bonds, which quantitative easing has affected to a larger extent than other markets. While the start of the central bank purchases amplifies liquidity for...

Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on...

Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved...