We examine the impact of reported insider trading on market liquidity, as measured by an order-size-dependent volume …-weighted spread measure, which is called Xetra liquidity measure (XLM). This relationship is scrutinized for the German market both in … very active, most likely to hide their information based trading in higher trading volumes. We discover that the liquidity …

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded … at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has … long remained a more or less elusive concept. Treatment of liquidity risk is still under development. This paper provides …

We examine the relation between market liquidity and ownership concentration and the effect of different types of … blockholders on stock market liquidity in Germany. For the overall sample high ownership concentration is negatively related to … market liquidity as measured by an order-size-dependent volume-weighted spread measure, which is called Xetra liquidity …

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded … at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has … long remained a more or less elusive concept. Treatment of liquidity risk is still under development.This paper provides an …

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor … in risk management. Literature has already proposed several models to include liquidity risk in the standard Value … benchmarked. This paper performs comparative back-tests of daily risk forecasts for a large selection of traceable liquidity risk …

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market … liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this …, parametric approach based on the Cornish-Fisher approximation to account for non-normality in liquidity risk. We show how to …

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread … measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective … find liquidity risk to increase traditionally-measured price risk by over 25%, even at standard 10-day horizons and for …