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Intraday Market Liquidity on the Swiss Stock Exchange

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abstract This study is an empirical analysis of the intraday market liquidity and volume concentration on the Swiss Stock Exchange. The intraday market liquidity on the Swiss market exhibits a triple-U shaped pattern. An intraday pattern of volume concentration also exists. The empirical evidence shows that the US market influences the Swiss trading day to a remarkable extent. The results also suggest the dynamics of an order-driven market. Disequilibrium between demand and supply conditions are associated with an increase in trading volume and a thinner limit order book. In this market condition, trades engender a wider spread and price volatility.
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 2001
journal Financial Markets and Portfolio Management
publisher Springer (Heidelberg)
ISSN 1555-4961
volume of journal 15
number of issue 3
page(s) 309-327
review double-blind review
   
citation Ranaldo, A. (2001). Intraday Market Liquidity on the Swiss Stock Exchange. Financial Markets and Portfolio Management, 15(3), 309-327.