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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity … has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the …
Persistent link: https://www.econbiz.de/10012020325
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Investigating intertrade durations using copulas : an experiment with NASDAQ data
Chakravary, Ranjan R.; Pani, Sudhanshu - In: Algorithmic finance 9 (2022) 3/4, pp. 81-102
Persistent link: https://www.econbiz.de/10013459970
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data
Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57
Persistent link: https://www.econbiz.de/10012127871
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High-frequency trading and stock liquidity : an intraday analysis
Ben Ammar, Imen; Hellara, Slaheddine; Ghadhab, Imen - In: Research in international business and finance 53 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012549814
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Price dynamics and market liquidity : an intraday event study on Euronext
Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153
Persistent link: https://www.econbiz.de/10011574367
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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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Technology upgrades in emerging equity markets : effects on liquidity and trading activity
Yılmaz, Mustafa Kemal; Erdem, Orhan; Eraslan, Veysel; … - In: Finance research letters 14 (2015), pp. 87-92
Persistent link: https://www.econbiz.de/10011552642
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Commonality in liquidity in the context of different trading systems : evidence from an emerging market
Tayeh, Mohammad - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1344-1353
Persistent link: https://www.econbiz.de/10011774856
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Liquidity commonality and high frequency trading: evidence from the French stock market
Anagnostidis, Panagiotis; Fontaine, Patrice - In: International review of financial analysis 69 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012317380