Quantifying the efficiency of the Xetra LOB market: Detailed recipe

Arbeitspapier

Motivated by the prominent role of electronic limit order book (LOB) markets in today’s stock market environment, this paper provides the basis for understanding, reconstructing and adopting Hollifield, Miller, Sandas, and Slive’s (2006) (henceforth HMSS) methodology for estimating the gains from trade to the Xetra LOB market at the Frankfurt Stock Exchange (FSE) in order to evaluate its performance in this respect. Therefore this paper looks deeply into HMSS’s base model and provides a structured recipe for the planned implementation with Xetra LOB data. The contribution of this paper lies in the modification of HMSS’s methodology with respect to the particularities of the Xetra trading system that are not yet considered in HMSS’s base model. The necessary modifications, as expressed in terms of empirical caveats, are substantial to derive unbiased market efficiency measures for Xetra in the end.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CFS Working Paper ; No. 2008/21

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: Limit Order Book Market ; Gains from Trade ; Xetra ; Börsen-Informationssystem ; Wertpapierhandel ; Aktienmarkt ; Markteffizienz ; Theorie ; Deutschland

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Sperl, Miriam
• Ereignis: Veröffentlichung
• (wer): Goethe University Frankfurt, Center for Financial Studies (CFS)
• (wo): Frankfurt a. M.
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/25556
• URN: urn:nbn:de:hebis:30-56941
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ