The Liquidity of the German Equity Market: Data, Methodology, Results

德国股票市场的流动性：数据、方法、结果

• 批准号: 260413935
• 负责人: Professor Dr. Erik Theissen
• 金额: --
• 依托单位: Lehrstuhl für ABWL und Finanzierung
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2014
• 资助国家: 德国
• 起止时间: 2013-12-31 至 2022-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/260413935?language=en
• 关键词: Liquidity; German; Equity; Market; Data

Our main objective is to create an extensive database containing daily liquidity measures (ca. 30 variables) for the German equity market. The coverage will be 10 years and all stocks contained in the CDAX. This database will provide important input for future research in microstructure and related areas. The raw data (approximately three terabyte of intraday data) will be provided by Deutsche Börse AG. We will carefully screen the data and then aggregate it to the daily level. The daily data wil then be fed into a database that will be freely and at no cost available to other researchers. The only requirement is that researchers have to sign a form un which they guarantee that the use the data for research purposes only (and in particular not for commercial purposes), and that they will not make the data available to third parties. Deutsche Börse has explicitly granted us the right to make the daily data available in this particular way. A second objective of our project (closely linked to the first one) is the creation of a technical document. It will describe the contents and structure of the database in a way such that other researchers can work with the data. Our third objective is to write a paper that describes and analyzes the trading activity and liquidity on the German equity market. Obviously this paper will be based on the data set we intend to create. The fourth and final objective is to write a paper that analyzes the accuracy of low-frequency liquidity measures. Such measures have been proposed in the literature (starting with Roll 1984) in order to provide measures of liquidity that can be calculated when intraday data is unavailable (or too expensive or too cumbersome to use). Previous evaluations of such measures use different methodology and yield ambiguous results. Further, almost all previous papers conclude that the low-frequency measure which has been proposed in the respective paper fares better than all other measures. We plan to perform an analysis that is based on a broader sample (Germany and the US; this is warranted because the market structure in the two countries is distinctly different). We further plan to use a broader set of methods to assure the robustness of our results.

我们的主要目标是创建一个包含德国股票市场每日流动性指标（约 30 个变量）的数据库，覆盖范围为 10 年，并且 CDAX 中包含的所有股票将为未来的微观结构研究提供重要的广泛输入。原始数据（大约 3 TB 的日内数据）将由德意志交易所公司提供，然后将其汇总到每日数据。唯一的要求是研究人员必须签署一份表格，保证这些数据仅用于研究目的（特别是不用于商业目的），他们不会向第三方提供数据。德意志交易所已明确授予我们以这种特殊方式提供每日数据的权利。我们项目的第二个目标（与第一个目标密切相关）是创建它将描述内容和结构。我们的第三个目标是撰写一篇论文，描述和缝合德国股票市场的交易活动和流动性。显然，这篇论文将基于我们的数据集。第四个也是最后一个目标是写一篇论文，缝合文献中提出的低频流动性度量的准确性（从 Roll 1984 开始），以便提供可计算的流动性度量。当日内数据不可用时（或太贵或太此外，以前对此类措施的评估使用了不同的方法，并且得出的结果不明确，即各自论文中提出的低频措施比我们计划执行的所有其他措施都要好。基于更广泛样本的分析（德国和美国；这是有道理的，因为这两个国家的市场结构明显不同）。我们进一步计划使用更广泛的方法来确保我们结果的稳健性。