| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085318 | International Review of Financial Analysis | 2010 | 4 Pages |
Abstract
This paper tests for the presence of a weather effect on liquidity in a screen-based electronic stock market. The Exchange Liquidity Measure XLM enables us to separate the effect of cloudy skies on liquidity provided by market makers from this effect on liquidity naturally in the market. The empirical evidence suggests that cloudy skies correspond with high natural liquidity levels and low liquidity injected by market makers. This result is consistent with findings for floor-based stock trading and with the hypothesis that market makers add less value in markets with high natural liquidity.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Christiane Goodfellow, Dirk Schiereck, Tatjana Verrier,