Liquidity in the German stock market

Johann, Thomas ; Scharnowski, Stefan ; Theissen, Erik ; Westheide, Christian ; Zimmermann, Lukas

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Document Type: Article
Year of publication: 2019
The title of a journal, publication series: Schmalenbach Business Review : Sbr
Volume: 71
Issue number: 4
Page range: 443-473
Place of publication: Düsseldorf
Publishing house: Verl.-Gruppe Handelsblatt
ISSN: 1439-2917 , 2194-072X
Publication language: English
Institution: Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSB (Business Studies)
Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject: 330 Economics
Abstract: This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is significantly higher. Commonality in liquidity is highest during the financial crisis. We also find significant commonality between liquidity in the US and the German equity markets.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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