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


  • Mónica Espinosa

    (Universidad de Alicante)

  • Mikel Tapia

    (Universidad Carlos III de Madrid)

  • Marco Trombetta

    (Instituto de Empresa Business School)


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.

Suggested Citation

  • Mónica Espinosa & Mikel Tapia & Marco Trombetta, 2008. "Disclosure and liquidity in a driven by orders market: Empirical evidence from panel data," Investigaciones Economicas, Fundación SEPI, vol. 32(3), pages 339-370, September.
  • Handle: RePEc:iec:inveco:v:32:y:2008:i:2:p:339-370

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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.
    2. repec:eee:riibaf:v:42:y:2017:i:c:p:1164-1172 is not listed on IDEAS
    3. Ghassan Omet, 2011. "Stock Market Liquidity: Comparative Analysis of The Abu Dhabi Stock Exchange and Dubai Financial Market," Working Papers 655, Economic Research Forum, revised 12 Jan 2011.
    4. Aymen Ajina & Faten Lakhal & Danielle Sougné, 2015. "Institutional investors, information asymmetry and stock market liquidity in France," International Journal of Managerial Finance, Emerald Group Publishing, vol. 11(1), pages 44-59, February.

    More about this item


    Disclosure; liquidity; market microstructure.;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • M40 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - General
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting


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