The Effect of Continuity and Order-Book Visibility on the Liquidity Distribution of a Market

Kaj Hedvall

CEPR Financial Markets Paper from European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX.

Abstract: The change in the market mechanism on the Helsinki Stock Exchange was examined in order to study the impact of order book visibility and continuity on the liquidity distribution. The hypothesis was that the change in continuity and order book visibility resulted in a shift in liquidity from thinly to more frequently traded shares. Several alternative measures were used to proxy the shift in liquidity. The findings were that the measures indicate a shift of liquidity away from the more marginal stocks during the period when continuous and open order book was used.

Keywords: Market Microstructure; Liquidity; COLOB; Securities; Finance (search for similar items in EconPapers)
Date: 1992-11
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