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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
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 Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …
Persistent link: https://www.econbiz.de/10012020325
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Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004
(resp. low). However the quality of this signal and market liquidity are different in each market design. We test these …
Persistent link: https://www.econbiz.de/10010361995
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Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2005 - This Draft: May, 2005
this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …
Persistent link: https://www.econbiz.de/10009524806
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Strategic trading and trade reporting by corporate insiders
Betzer, André; Gider, Jasmin; Metzger, Daniel; … - 2010 - This version: November 2010
Regulations in the pre-Sarbanes–Oxley era allowed corporate insiders considerable flexibility in strategically timing their trades and SEC filings, for example, by executing several trades and reporting them jointly after the last trade. We document that even these lax reporting requirements...
Persistent link: https://www.econbiz.de/10009705493
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Strategic trading and trade reporting by corporate insiders
Betzer, André; Gider, Jasmin; Metzger, Daniel; … - 2009
In the pre-Sarbanes-Oxley era corporate insiders were required to report trades in shares of their firm until the 10th of the month following the trade. This gave them considerable flexibility to time their trades and reports strategically, e.g., by executing a sequence of trades and reporting...
Persistent link: https://www.econbiz.de/10003919398
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Strategic trading and trade reporting by corporate insiders
Betzer, André; Gider, Jasmin; Metzger, Daniel; … - 2011
Regulations in the pre-Sarbanes-Oxley era allowed corporate insiders considerable flexibility in strategically timing their trades and SEC filings, for example, by executing several trades and reporting them jointly after the last trade. We document that even these lax reporting requirements...
Persistent link: https://www.econbiz.de/10008822941
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Strategic trading and trade reporting by corporate insiders
Betzer, André; Gider, Jasmin; Metzger, Daniel; … - 2011
Regulations in the pre-Sarbanes–Oxley era allowed corporate insiders considerable flexibility in strategically timing their trades and SEC filings, e.g., by executing several trades and reporting them jointly after the last trade. We document that even these lax reporting requirements were...
Persistent link: https://www.econbiz.de/10009405124
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Strategic trading and trade reporting by corporate insiders
Betzer, André; Gider, Jasmin; Metzger, Daniel; … - 2011
Regulations in the pre-Sarbanes-Oxley era allowed corporate insiders considerable flexibility in strategically timing their trades and SEC filings, for example, by executing several trades and reporting them jointly after the last trade. We document that even these lax reporting requirements...
Persistent link: https://www.econbiz.de/10010308553
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Strategic trading and trade reporting by corporate insiders
Betzer, André; Gider, Jasmin; Metzger, Daniel; … - 2011
Regulations in the pre-Sarbanes-Oxley era allowed corporate insiders considerable flexibility in strategically timing their trades and SEC filings, e.g., by executing several trades and reporting them jointly after the last trade. We document that even these lax reporting requirements were...
Persistent link: https://www.econbiz.de/10010291113
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A tale of two cities : inter-market latency and fast-trader competition
Sagade, Satchit; Scharnowski, Stefan; Theissen, Erik; … - 2024 - This version: July 10, 2024
increased contribution to price discovery by the smaller exchange. Liquidity worsens for large caps due to increased sniping but … improves for mid caps due to fast liquidity provision. Trading volume on the smaller exchange declines across all stocks. We …
Persistent link: https://www.econbiz.de/10015065826