In three disjunct chapters, this dissertation conducts empirical research in the field of market microstructure. It examines the trading process and its consequences for market efficiency and liquidity in modern equity markets.
Chapter 1 conducts a comprehensive comparative analysis of low-frequency liquidity estimators and finds that estimator performance is highly dependent on a particular application.
Chapter 2 shows that retail investor attention is positively related to volatility and turnover but only weakly related to stock returns and liquidity.
Chapter 3 shows that "quasi-dark" trading venues, i.e., markets with somewhat non-transparent trading mechanisms, are important parts of modern equity market structure alongside lit markets and dark pools. They serve as close substitutes for dark pools and consequently mitigate the effectiveness of dark pool regulation.
Übersetzter Titel:
Essays in emprisicher Marktmikrostruktur
(Deutsch)
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