Hidden Liquidity

Book English OPEN
Cebiroglu, Gökhan; Horst, Ulrich;
(2012)
  • Publisher: Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
  • Related identifiers: doi: 10.18452/4396
  • Subject: Hidden Liquidity | Iceberg Orders | Pretrade Transparency | Informed Trading | Market Impact Market Quality | Liquidity Externalities | Upstairs Markets | Trade Negotiation | 330 Wirtschaft
    • ddc: ddc:330

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 findin... View more