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dc.contributor.authorKempf, Alexanderen_US
dc.contributor.authorMayston, Danielen_US
dc.description.abstractThis paper investigates the commonality of liquidity in an open limit order book market. We find that commonality in liquidity becomes stronger the deeper we look into the limit order book. While commonality is only about 2% at the best prices, it increases up to about 20% inside the limit order book. Furthermore, we find strong time variation in commonality both on an intradaily basis and with the movement of the market return. Our study thus suggests that previous estimates of commonality do not hold for liquidity beyond best prices. Therefore, systematic liquidity risk in a limit order book market is much higher than previous evidence implies.en_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR Working Paper 06-04en_US
dc.subject.keywordOrder-Driven Marketsen_US
dc.subject.keywordLiquidity Commonalityen_US
dc.titleLiquidity commonality beyond best pricesen_US
dc.typeWorking Paperen_US
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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