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dc.contributor.authorBeltran-Lopez, Hélenaen_US
dc.contributor.authorGrammig, Joachim G.en_US
dc.contributor.authorMenkveld, Albert J.en_US
dc.date.accessioned2011-03-16en_US
dc.date.accessioned2012-04-20T17:09:17Z-
dc.date.available2012-04-20T17:09:17Z-
dc.date.issued2011en_US
dc.identifier.piurn:nbn:de:hebis:30-92979en_US
dc.identifier.urihttp://hdl.handle.net/10419/57358-
dc.description.abstractIn the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated. In limit order book markets, however, this relationship is less clear, as market participants can switch roles, and freely choose to immediately demand or patiently supply liquidity by submitting either market or limit orders. We study the importance of information asymmetry in limit order books based on a recent sample of thirty German DAX stocks. We find that Hasbrouck's (1991) measure of trade informativeness Granger-causes book liquidity, in particular that required to fill large market orders. Picking-off risk due to public news induced volatility is more important for top-of-the book liquidity supply. In our multivariate analysis we control for volatility, trading volume, trading intensity and order imbalance to isolate the effect of trade informativeness on book liquidity.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2011/09en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordPrice Impact of Tradesen_US
dc.subject.keywordTrading Intensityen_US
dc.subject.keywordDynamic Duration Modelsen_US
dc.subject.keywordSpread Decomposition Modelsen_US
dc.subject.keywordAdverse Selection Risken_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwBörsenumsatzen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwInformationseffizienzen_US
dc.subject.stwAdverse Selectionen_US
dc.subject.stwRisikoen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.titleLimit order books and trade informativenessen_US
dc.typeWorking Paperen_US
dc.identifier.ppn654217386en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:201109-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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