Dufour and Engle (2000) have shown that the duration between subsequent trade events carries informational content with respect to the evolution of the fundamental asset value. Their analysis supports the notion that "no trade means no information" derived from Easley and O'Hara's (1992)...

We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...