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dc.contributor.authorWuyts, Guntheren_US
dc.date.accessioned2009-08-06en_US
dc.date.accessioned2010-12-15T09:21:59Z-
dc.date.available2010-12-15T09:21:59Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:hebis:30-62322-
dc.identifier.urihttp://hdl.handle.net/10419/43220-
dc.description.abstractThis paper analyzes liquidity in an order driven market. We only investigate the best limits in the limit order book, but also take into account the book behind these inside prices. When subsequent prices are close to the best ones and depth at them is substantial, larger orders can be executed without an extensive price impact and without deterring liquidity. We develop and estimate several econometric models, based on depth and prices in the book, as well as on the slopes of the limit order book. The dynamics of different dimensions of liquidity are analyzed: prices, depth at and beyond the best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our results show a somewhat less favorable image of liquidity than often found in the literature. After a liquidity shock (in the spread or depth or in the book beyond the best limits), several dimension of liquidity deteriorate at the same time. Not only does the inside spread increase, and depth at the best prices decrease, also the difference between subsequent bid and ask prices may become larger and depth provided at them decreases. The impacts are both econometrically and economically significant. Also, our findings point to an interaction between different measures of liquidity, between liquidity at the best prices and beyond in the book, and between ask and bid side of the market.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2008/53en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordLiquidityen_US
dc.subject.keywordResiliencyen_US
dc.subject.keywordLimit Order Marketsen_US
dc.subject.keywordLimit Order Book Slopesen_US
dc.subject.keywordLiquidity Shocksen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwSchocken_US
dc.subject.stwBid-Ask Spreaden_US
dc.subject.stwWelten_US
dc.titleThe impact of liquidity shocks through the limit order booken_US
dc.typeWorking Paperen_US
dc.identifier.ppn606206884en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200853-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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