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Information Asymmetry and Information Dissemination in High-Frequency Capital Markets

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  • Pöppe, Thomas

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.

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  • Pöppe, Thomas, 2016. "Information Asymmetry and Information Dissemination in High-Frequency Capital Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 79756, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Handle: RePEc:dar:wpaper:79756
    Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/79756/
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