Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57745 
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dc.contributor.authorKempf, Alexanderen
dc.contributor.authorMayston, Danielen
dc.date.accessioned2012-04-26-
dc.date.accessioned2012-05-02T15:45:27Z-
dc.date.available2012-05-02T15:45:27Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/57745-
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
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR Working Paper |x06-04en
dc.subject.jelG10en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordOrder-Driven Marketsen
dc.subject.keywordLiquidity Commonalityen
dc.titleLiquidity commonality beyond best prices-
dc.typeWorking Paperen
dc.identifier.ppn700635890en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:0604en

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