Liquidity in the German Stock Market
This book analyses empirically the liquidity of DAX stocks, making extensive use of XETRA order book data. It proposes a liquidity measure which is then used to estimate parameter specifications for the most commonly used stochastic processes in finance, i.e. Vasicek and Cox, Ingersoll, and Ross. Thereby a nonparametric testing procedure is being applied. Furthermore, based on the proposed measure and using market microstructure theory on the components of the spread, causes of (il)liquidity are being examined. The results of the analyses offer tools and insights both for researchers and practitioners.