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Disclosure and liquidity in a driven by orders market: Empirical evidence from panel data

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Author Info

  • Mónica Espinosa

    (Universidad de Alicante)

  • Mikel Tapia

    (Universidad Carlos III de Madrid)

  • Marco Trombetta

    (Instituto de Empresa Business School)

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    Abstract

    The purpose of this paper is to study the relationship between disclosure and liquidity. Previous empirical tests have focused only on US markets and have used standard least square estimation techniques even in the presence of panel data. We analyse a market (Madrid Stock Exchange) with special institutional features and use proper panel data techniques. We provide evidence in favour of a positive relationship between disclosure and liquidity. Our results prove that this positive relationship is robust to different market architectures and to the use of different liquidity measures.

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    Bibliographic Info

    Article provided by Fundación SEPI in its journal Investigaciones Económicas.

    Volume (Year): 32 (2008)
    Issue (Month): 3 (September)
    Pages: 339-370

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    Handle: RePEc:iec:inveco:v:32:y:2008:i:2:p:339-370

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    Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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    Web page: http://www.fundacionsepi.es/

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    Web: http://www.fundacionsepi.es/revistas/presentacion.asp

    Related research

    Keywords: Disclosure; liquidity; market microstructure.;

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    Cited by:
    1. Loukil, Nadia & Yousfi, Ouidad, 2010. "Firm's information environment and stock liquidity: evidence from Tunisian context," MPRA Paper 28699, University Library of Munich, Germany, revised Feb 2011.

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