Publication: Disclosure and liquidity in a driven by orders market : empirical evidence from panel data
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2008
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Fundación SEPI
Abstract
The purpose of this paper is to study the relationship between disclosure and
liquidity. Previous empirical tests have focused only on US markets and have
used standard least square estimation techniques even in the presence of panel
data. We analyse a market (Madrid Stock Exchange) with special institutional
features and use proper panel data techniques. We provide evidence in
favour of a positive relationship between disclosure and liquidity. Our results
prove that this positive relationship is robust to different market architectures
and to the use of different liquidity measures.
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Keywords
Disclosure, Liquidity, Market microstructure
Bibliographic citation
Investigaciones económicas, v. 32, n. 3, 2008, pp. 339-369