Disclosure and liquidity in a driven by orders market: Empirical evidence from panel data

Mónica Espinosa, Mikel Tapia and Marco Trombetta
Additional contact information
Mónica Espinosa: Universidad de Alicante
Mikel Tapia: Universidad Carlos III de Madrid
Marco Trombetta: Instituto de Empresa Business School

Investigaciones Economicas, 2008, vol. 32, issue 3, pages 339-370

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.

Keywords: Disclosure; liquidity; market microstructure. (search for similar items in EconPapers)
JEL-codes: G14 M40 M41 (search for similar items in EconPapers)
Date: 2008

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