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Liquidity in the German Stock Market

Author

Listed:
  • Thomas Johann

    (University of Mannheim)

  • Stefan Scharnowski

    (University of Mannheim)

  • Erik Theissen

    (University of Mannheim
    Centre for Financial Research)

  • Christian Westheide

    (University of Vienna
    Research Center SAFE)

  • Lukas Zimmermann

    (University of Mannheim)

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.

Suggested Citation

  • Thomas Johann & Stefan Scharnowski & Erik Theissen & Christian Westheide & Lukas Zimmermann, 2019. "Liquidity in the German Stock Market," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 71(4), pages 443-473, October.
  • Handle: RePEc:spr:schmbr:v:71:y:2019:i:4:d:10.1007_s41464-019-00079-6
    DOI: 10.1007/s41464-019-00079-6
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    More about this item

    Keywords

    Market Microstructure; Liquidity; Volatility; Germany; Xetra;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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