Earlier versions of this paper were circulated under the title ‘Zooming in on Liquidity’. We thank Deutsche Börse AG for providing the data. We thank an anonymous referee, Pierre Giot, Joachim Grammig, Alexander Kempf, participants of the 31st annual meeting of the European Finance Association, of the 11th annual meeting of the German Finance Association, of the 9th Symposium on Finance, Banking and Insurance in Karlsruhe and seminar participants at the University of St. Gallen and the University of Exeter for valuable comments. Correspondence: Erik Theissen.
Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach†
Article first published online: 15 FEB 2013
© 2013 John Wiley & Sons Ltd
European Financial Management
Volume 21, Issue 1, pages 52–78, January 2015
How to Cite
Gomber, P., Schweickert, U. and Theissen, E. (2015), Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach. European Financial Management, 21: 52–78. doi: 10.1111/j.1468-036X.2013.12006.x
- Issue published online: 27 JAN 2015
- Article first published online: 15 FEB 2013
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