Market liquidity

This dissertation provides a solid and in-depth discussion of market liquidity in the financial markets. In particular, it focuses upon the empirical impact of the financial crisis, ownership concentration, different types of blockholders and insider trading on market liquidity. It contributes to a wider understanding of the dynamics, phenomena and influencing factors that underlie stock market liquidity. Furthermore, this thesis assists in unearthing several puzzling market liquidity phenomena in the stock market, such as the liquidity commonality and the flight-to-quality. The empirical analysis uses a volume-weighted spread liquidity measure that can be extracted from the limit order book and measures the order-size-dependent liquidity costs of a roundtrip.