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dc.contributor.authorCebiroğlu, Gökhanen
dc.contributor.authorHorst, Ulrichen
dc.date.accessioned2012-03-08-
dc.date.accessioned2012-04-05T16:19:01Z-
dc.date.available2012-04-05T16:19:01Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/56686-
dc.description.abstractWe 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.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2012-023en
dc.subject.jelG10en
dc.subject.jelG11en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.jelG24en
dc.subject.ddc330en
dc.subject.keywordhidden liquidityen
dc.subject.keywordpretrade transparencyen
dc.subject.keywordiceberg ordersen
dc.subject.keywordinformed tradingen
dc.subject.keywordmarket impacten
dc.subject.keywordmarket qualityen
dc.subject.keywordliquidity externalitiesen
dc.subject.keywordupstairs marketsen
dc.subject.keywordtrade negotiationen
dc.subject.stwWertpapierhandelen
dc.subject.stwMarktliquiditäten
dc.subject.stwBörsenumsatzen
dc.subject.stwBörsenkursen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleHidden liquidity: Determinants and impact-
dc.typeWorking Paperen
dc.identifier.ppn688143180en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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