Hidden liquidity: Determinants and impact

Research, Preprint English OPEN
Gökhan Cebiroglu; Ulrich Horst;
(2012)
  • Publisher: SFB 649, Economic Risk Berlin
  • Subject: USA | Marktliquidität | Börsenkurs | G11 | G10 | pretrade transparency | informed trading | G12 | Wertpapierhandel | G14 | liquidity externalities | upstairs markets | iceberg orders | Schätzung | market quality | G24 | hidden liquidity | Börsenumsatz | trade negotiation | Hidden Liquidity, Pretrade Transparency, Iceberg Orders, Informed Trading, Market Impact, Market Quality, Liquidity Externalities, Upstairs Markets, Trade Negotiation | market impact | Theorie
    • ddc: ddc:330
      jel: jel:G14 | jel:G12 | jel:G11 | jel:G10 | jel:G24

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock’s hidden dimension, both in terms of traded and posted liquidity. Our find... View more
  • References (31)
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