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Information Asymmetry and Information Dissemination in High-Frequency Capital Markets

Thomas Pöppe

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

Abstract: This dissertation is concerned with information asymmetry and information dissemination in high-frequency capital markets. At the intersection of information dissemination and asymmetry with market microstructure, this dissertation pursues three major goals. We propose enhancements to market microstructure methodology to be able to empirically conduct research on information dissemination and asymmetry on recent, high-frequency trading data. Second, we empirically evaluate related microstructure methodology to test its robustness and guide researchers in its application. Third, we employ the proposed methodology to evaluate the efficacy of different information channels, both traditional, legislation-based and new, technology-based channels.

Date: 2016
New Economics Papers: this item is included in nep-mst
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