Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56686
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dc.contributor.authorCebiroğlu, Gökhanen_US
dc.contributor.authorHorst, Ulrichen_US
dc.date.accessioned2012-03-08en_US
dc.date.accessioned2012-04-05T16:19:01Z-
dc.date.available2012-04-05T16:19:01Z-
dc.date.issued2012en_US
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_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2012-023en_US
dc.subject.jelG10en_US
dc.subject.jelG11en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.jelG24en_US
dc.subject.ddc330en_US
dc.subject.keywordhidden liquidityen_US
dc.subject.keywordpretrade transparencyen_US
dc.subject.keywordiceberg ordersen_US
dc.subject.keywordinformed tradingen_US
dc.subject.keywordmarket impacten_US
dc.subject.keywordmarket qualityen_US
dc.subject.keywordliquidity externalitiesen_US
dc.subject.keywordupstairs marketsen_US
dc.subject.keywordtrade negotiationen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwBörsenumsatzen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleHidden liquidity: Determinants and impacten_US
dc.typeWorking Paperen_US
dc.identifier.ppn688143180en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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