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dc.contributor.authorBeltran-Lopez, Hélenaen
dc.contributor.authorGrammig, Joachim G.en
dc.contributor.authorMenkveld, Albert J.en
dc.date.accessioned2011-03-16-
dc.date.accessioned2012-04-20T17:09:17Z-
dc.date.available2012-04-20T17:09:17Z-
dc.date.issued2011-
dc.identifier.piurn:nbn:de:hebis:30-92979en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2011/09en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordPrice Impact of Tradesen
dc.subject.keywordTrading Intensityen
dc.subject.keywordDynamic Duration Modelsen
dc.subject.keywordSpread Decomposition Modelsen
dc.subject.keywordAdverse Selection Risken
dc.subject.stwWertpapierhandelen
dc.subject.stwMarktliquiditäten
dc.subject.stwBörsenumsatzen
dc.subject.stwBörsenkursen
dc.subject.stwInformationseffizienzen
dc.subject.stwAdverse Selectionen
dc.subject.stwRisikoen
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleLimit order books and trade informativeness-
dc.typeWorking Paperen
dc.identifier.ppn654217386en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:201109en

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