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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56686
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| Title: | | Hidden liquidity: Determinants and impact  |
| Authors: | | Cebiroğlu, Gökhan Horst, Ulrich |
| Issue Date: | | 2012 |
| Series/Report no.: | | SFB 649 discussion paper 2012-023 |
| Abstract: | | We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the market, hidden liquidity provision gives rise to negative liquidity externalities. |
| Subjects: | | hidden liquidity pretrade transparency iceberg orders informed trading market impact market quality liquidity externalities upstairs markets trade negotiation |
| JEL: | | G10 G11 G12 G14 G24 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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