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dc.contributor.authorGomber, Peteren_US
dc.contributor.authorSchweickert, Uween_US
dc.contributor.authorTheissen, Eriken_US
dc.date.accessioned2011-10-17T15:30:07Z-
dc.date.available2011-10-17T15:30:07Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/50552-
dc.description.abstractWe 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, analyze the cross-sectional determinants of the XLM measure and document its intraday pattern. Our main contribution is an analysis of the dynamics of the XLM measure around liquidity shocks. We use intraday event study methodology to analyze how a shock affects the XLM measure. We consider two sets of liquidity shocks, large transactions (which are endogenous events because they originate in the market) and Bloomberg ticker news items (which are exogenous events because they originate outside of the market). We find that resiliency after large transactions is high, i.e., liquidity quickly reverts to normal levels. We further document that large trades take place at times when liquidity is unusually high. We interpret this as evidence that large transactions are timed. The Bloomberg ticker news items do not have a discernible effect on liquidity.en_US
dc.language.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 11-14en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordliquidityen_US
dc.subject.keywordlimit order booken_US
dc.subject.keywordresiliencyen_US
dc.titleLiquidity dynamics in an electronic open limit order book: An event study approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn669530794en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:1114-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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