Quotation Kopp, Emanuel Albin, Hütl, Michael, Loistl, Otto, Prix, Johannes. 2008. Cross-Sectional Liquidity Interactions from Intraday Perspectives. In: "New Developments in Financial Modelling", Hrsg. Soares/Pina/Catalao-Lopes, 213-244. Cambridge: Cambridge Scholars Publishing.




This is the first empirical study on non-idiosyncratic liquidity components that investigates different intraday time periods during the trading session based on complete tick-by-tick order book data from the Xetra electronic trading system of the Frankfurt Stock Exchange (FSE). We apply non-overlapping cost of round-trip measures, which allows capturing liquidity in different regions of the entire limit order book. To extract common factors in liquidity, we rely on cross-sectional principal components analysis (PCA). Since PCA provides no interpretation of the extracted systematic factors, we propose a robust multi-stage PCA and regression approach to investigate cross-sectional liquidity determinants and their interactions in detail. We detect considerable influence of market-wide liquidity and furthermore show which factors count for the intraday variation in liquidity commonality. Moreover, it is empirically demonstrated that systematic liquidity is strongly related to common factors in stock returns, and also to market-wide buying or selling pressures.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Chapter in edited volume
Language English
Title Cross-Sectional Liquidity Interactions from Intraday Perspectives
Title of whole publication "New Developments in Financial Modelling"
Editor Soares/Pina/Catalao-Lopes
Page from 213
Page to 244
Location Cambridge
Publisher Cambridge Scholars Publishing
Year 2008
Reviewed? Y
URL http://www.c-s-p.org/Flyers/New-Developments-in-Financial-Modelling1-84718-674-2.htm


Kopp, Emanuel Albin (Former researcher)
Hütl, Michael (Former researcher)
Loistl, Otto (Details)
Prix, Johannes (Former researcher)
Institute for Investmentbanking and Catallactics IN (Former organization)
Finance, Accounting and Statistics DP (Details)
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