Informed Traders as Liquidity Providers

Evidence from the German Equity Market

  • Authors
  • Alexandra Hachmeister

Table of contents

  1. Front Matter
    Pages I-XVI
  2. Introduction

    1. Pages 1-6
  3. Institutional Set-up and Academic Framework

    1. Front Matter
      Pages 7-8
    2. Pages 21-33
    3. Pages 35-46
  4. Empirical Analyses

  5. Back Matter
    Pages 151-179

About this book

Introduction

Most market places in today’s exchange industry operate on fully electronic trading systems. The predominant form of trading systems is the open limit order book pooling all buy and sell limit orders in one single order book. The attractiveness of an order book is determined by its liquidity. Consequently, liquidity is the competitive factor for an exchange. However, it is not the exchange that provides the liquidity but the limit orders standing in the order book. The question is: Who are these traders that provide liquidity on a voluntary basis?

A high frequency transaction data set for the German equity market is the basis for Alexandra Hachmeister’s extensive empirical analysis. This includes a detailed market description of the German equity market, a new methodological approach for the identification of informed traders and finally the analysis of the individual liquidity providing and demanding behavior of the identified informed traders. Questioning the existing theoretical literature on liquidity provision in equity markets, she finds strong evidence for liquidity providing behavior of informed traders.

Keywords

Handel, elektronischer Hochfrequenz-Handelsdaten Informierter Handel Liquidität Provision liquidity

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-8350-9577-9
  • Copyright Information Deutscher Universitäts-Verlag | GWV Fachverlage GmbH, Wiesbaden 2007
  • Publisher Name DUV
  • eBook Packages Business and Economics
  • Print ISBN 978-3-8350-0755-0
  • Online ISBN 978-3-8350-9577-9
  • About this book