Liquidity in the German Stock Market

An Analysis Using Order Book Data
Tectum, 1. Edition 2007, 150 Pages
Book
€24.90
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ISBN 978-3-8288-9369-6
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Description
This book analyses empirically the liquidity of DAX stocks, making extensive use of XETRA order book data. It proposes a liquidity measure which is then used to estimate parameter specifications for the most commonly used stochastic processes in finance, i.e. Vasicek and Cox, Ingersoll, and Ross. Thereby a nonparametric testing procedure is being applied. Furthermore, based on the proposed measure and using market microstructure theory on the components of the spread, causes of (il)liquidity are being examined. The results of the analyses offer tools and insights both for researchers and practitioners.
Bibliographical data
Bibliographical data
Edition 1
ISBN 978-3-8288-9369-6
Subtitle An Analysis Using Order Book Data
Publication Date Aug 21, 2007
Year of Publication 2007
Publisher Tectum
Format Softcover
Language deutsch
Pages 150
Copyright Year 2007
Medium Book
Product Type Scientific literature
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