Arbeitspapier

Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?

to connected objects

Large trades have a smaller price impact per share than medium-sized trades. So far, the literature has attributed this effect to the informational content of trades. In this paper, we show that this effect can arise from strategic order placement. We introduce the concept of a liquidity elasticity, measuring the responsiveness of liquidity demand with respect to changes in liquidity supply, as a major driver for a declining price impact per share. Empirical evidence based on Nasdaq stocks strongly supports theoretical predictions and shows that the aspect of liquidity coor- dination is an important complement to rationales based on asymmetric information.

Language: Englisch

Bibliographic citation: Series: CFS Working Paper Series ; No. 625

Classification: Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors

Subject: stealth trading
price impact
liquidity elasticity
limit order book

Event: Geistige Schöpfung

(who): Cebiroglu, Gökhan
Hautsch, Nikolaus
Walsh, Christopher

Event: Veröffentlichung

(who): Goethe University Frankfurt, Center for Financial Studies (CFS)

(where): Frankfurt a. M.

(when): 2019

Handle: http://hdl.handle.net/10419/203251

URN: urn:nbn:de:hebis:30:3-509904

Last update: 10.03.2025, 11:42 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Show original at data provider

Object type

Arbeitspapier

Associated

Cebiroglu, Gökhan
Hautsch, Nikolaus
Walsh, Christopher
Goethe University Frankfurt, Center for Financial Studies (CFS)

Time of origin

2019

Other Objects (12)

Modeling time-varying dependencies between positive-valued high-frequency time series

Arbeitspapier

Modeling time-varying dependencies between positive-valued high-frequency time series

Modelling Intraday Trading Activity Using Box-Cox-ACD Models

Arbeitspapier

Modelling Intraday Trading Activity Using Box-Cox-ACD Models

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Arbeitspapier

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model

Arbeitspapier

Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model

Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions

Arbeitspapier

Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions

Testing multiplicative error models using conditional moment tests

Arbeitspapier

Testing multiplicative error models using conditional moment tests

Revisiting the stealth trading hypothesis: does time-varying liquidity explain the size-effect?

Revisiting the stealth trading hypothesis: does time-varying liquidity explain the size-effect?

On the Dark Side of the Market

On the Dark Side of the Market

Limit Order Flow, Market Impact and Optimal OrderSizes

Limit Order Flow, Market Impact and Optimal OrderSizes

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information

Konferenzbeitrag

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information

Large-scale portfolio allocation under transaction costs and model uncertainty

Arbeitspapier

Large-scale portfolio allocation under transaction costs and model uncertainty

Modeling time-varying dependencies between positive-valued high-frequency time series

Arbeitspapier

Modeling time-varying dependencies between positive-valued high-frequency time series

Modelling Intraday Trading Activity Using Box-Cox-ACD Models

Arbeitspapier

Modelling Intraday Trading Activity Using Box-Cox-ACD Models

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Arbeitspapier

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model

Arbeitspapier

Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model

Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions

Arbeitspapier

Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions

Testing multiplicative error models using conditional moment tests

Arbeitspapier

Testing multiplicative error models using conditional moment tests

Revisiting the stealth trading hypothesis: does time-varying liquidity explain the size-effect?

Revisiting the stealth trading hypothesis: does time-varying liquidity explain the size-effect?

On the Dark Side of the Market

On the Dark Side of the Market

Limit Order Flow, Market Impact and Optimal OrderSizes

Limit Order Flow, Market Impact and Optimal OrderSizes

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information

Konferenzbeitrag

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information

Large-scale portfolio allocation under transaction costs and model uncertainty

Arbeitspapier

Large-scale portfolio allocation under transaction costs and model uncertainty

Modeling time-varying dependencies between positive-valued high-frequency time series

Arbeitspapier

Modeling time-varying dependencies between positive-valued high-frequency time series

Modelling Intraday Trading Activity Using Box-Cox-ACD Models

Arbeitspapier

Modelling Intraday Trading Activity Using Box-Cox-ACD Models

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Arbeitspapier

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model

Arbeitspapier

Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model

Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions

Arbeitspapier

Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions

Testing multiplicative error models using conditional moment tests

Arbeitspapier

Testing multiplicative error models using conditional moment tests

Revisiting the stealth trading hypothesis: does time-varying liquidity explain the size-effect?

Revisiting the stealth trading hypothesis: does time-varying liquidity explain the size-effect?

On the Dark Side of the Market

On the Dark Side of the Market

Limit Order Flow, Market Impact and Optimal OrderSizes

Limit Order Flow, Market Impact and Optimal OrderSizes

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information

Konferenzbeitrag

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information

Large-scale portfolio allocation under transaction costs and model uncertainty

Arbeitspapier

Large-scale portfolio allocation under transaction costs and model uncertainty

Cultural heritage institutions wishing to register will find more information here.

Fields marked * need to be filled in.

Username*

Please enter your username

Email*

Please enter your email address

Please do not fill this field

First name

Last name

Password*

Please enter your password

Confirm password*

Please enter the same password

I have read the terms of use and the privacy policy for the collection of personal data and accept them. *

This field is required.

I would like to subscribe to the newsletter of the Deutsche Digitale Bibliothek. See newsletter subscription info.

Account created

Your "My DDB" account has been successfully created. Before you can log in to your account, you must click the confirmation link in the message we just sent to the email address you provided.