Zooming in on Liquidity

Gomber, Peter; Schweickert, Uwe; Theissen, Erik

doi:10.2139/ssrn.559406

Cited by 33 publications

(19 citation statements)

References 16 publications

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“…We obtain two time series λ j,t for each 10 The measure is similar to the cost of round trip measure in Irvine, Benston and Kandel (2000), the XLM measure in Gomber, Schweickert and Theissen (2004) or hypothetical price impacts as in Kumar (2003). Bauer (2004) measures the depth in a similar way and converts it into a percentage of a stock's free float.…”

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confidence: 99%

Liquidity Commonality Beyond Best Prices

Kempf

Mayston

2008

J of Financial Research

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Previous market microstructure research focuses on commonality in liquidity at the inside spread. However, liquidity at the inside spread only determines the systematic liquidity risk of small and medium trades. We study commonality in displayed liquidity beyond best prices, which determines the systematic liquidity risk of large trades. We show that it is much larger than commonality at the inside spread. The deeper we look into the order book, the higher is the level of commonality. In addition, it rises in the morning and when markets fall. 2008 The Southern Finance Association and the Southwestern Finance Association.

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confidence: 99%

Liquidity Commonality Beyond Best Prices

Kempf

Mayston

2008

J of Financial Research

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“…Using order book data from August 2002, Gomber et al (2004) find very similar patterns of market liquidity for both DAX and non-DAX stocks traded in XETRA. The results indicate that the U-shaped pattern is stable over time for a broad range of stocks.…”

Section: Patterns Of Intraday Market Liquidity In Xetramentioning

confidence: 89%

Liquidating large security positions strategically: a pragmatic and empirical approach

Mönch

2009

Financ Mark Portf Manag

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“…The XLM thus follows the concept of four dimensions of liquidity as described in Harris (1990). Gomber et al (2005) analyze the time dimension of liquidity 'resilience' and find that large transactions are timed, i.e., discretionary traders with large orders wait until the liquidity in the market is high enough. 24 The liquidity premium added for both sides of the order book is the well known and often applied quoted percentage spread.…”

Section: Data and Research Designmentioning

confidence: 99%