Market Microstructure Database Xetra

Liquidity of financial markets is important. It affects a multitude of economic outcomes such as trading profits, asset prices, real investment decisions, and corporate actions. However, measuring liquidity is no easy endeavor. One problem faced by researchers interested in liquidity is that measuring it oftentimes requires intraday high-frequency data. Such datasets are expensive and, because of their size, hard to work with.

We address this problem for the German equity market by providing a database that contains various daily market-microstructure measures of liquidity on the stock level for all stocks contained in the CDAX index from 1999 to 2013 traded on Xetra. All quote and trade data was provided by Deutsche Börse AG.

Using the Market Microstructure Database Xetra (MMDB-Xetra) allows researchers to focus on their research question without acquiring and working with intraday data themselves.

We gratefully acknowledge financial support from the German Science Foundation (DGF) under grant TH 724/6-1. “Xetra” and “CDAX” are registered trademarks of Deutsche Börse AG.