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Liquiditätsdynamik am deutschen Aktienmarkt

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  • Griese, Knut
  • Kempf, Alexander

Abstract

Die vorliegende Arbeit beschÄaftigt sich mit der LiquiditÄat am deutschen Aktienmarkt. Konkret analysieren wir den Preiseinfluss von Transaktionen. Zunächst zeigen wir in einem einfachen dynamischen Optimierungsmodell, wie die optimale Handelsstrategie eines Anlegers von der funktionalen Form der Preiseinflussfunktion abhängt. Anschließend bestimmen wir diese unter Verwendung von Orderbuchdaten aus dem XETRA-Handel. Wir finden, dass die Annahme eines in der Ordergröße linearen Preiseinflusses, wie sie in der Literatur üblicherweise verwendet wird, empirisch nicht zu halten ist. In etwa der Hälfte der Fälle ist die Preiseinflussfunktion konvex, in der anderen Hälfe der Fälle konkav. Die Form der Preiseinflussfunktion ändert sich dabei nicht rein zufällig, sondern lässt sich mit einem VAR(1)-Modell gut prognostizieren. Mit einem linearen Modell ist die Prognosegüte deutlich geringer. Die Ergebnisse unserer Studien implizieren, dass Anleger durch eine Anpassung ihrer Handelsstrategie an die Liquiditätsdynamik einen beträchtlichen Teil der liquiditätsbedingten Transaktionskosten im deutschen Aktienmarkt einsparen können.

Suggested Citation

  • Griese, Knut & Kempf, Alexander, 2005. "Liquiditätsdynamik am deutschen Aktienmarkt," CFR Working Papers 05-12, University of Cologne, Centre for Financial Research (CFR).
    • Handle: RePEc:zbw:cfrwps:0512
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    References listed on IDEAS

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