Hidden liquidity: Determinants and impact

Arbeitspapier

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 findings moreover suggest that large hidden orders are associated with larger transaction costs, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the market, hidden liquidity provision gives rise to negative liquidity externalities.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2012-023

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading ; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
• Thema: hidden liquidity ; pretrade transparency ; iceberg orders ; informed trading ; market impact ; market quality ; liquidity externalities ; upstairs markets ; trade negotiation ; Wertpapierhandel ; Marktliquidität ; Börsenumsatz ; Börsenkurs ; Theorie ; Schätzung ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Cebiroğlu, Gökhan ; Horst, Ulrich
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/56686
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ