Documentation

In the accompanying technical document, we describe how we construct the database. We explain the variables contained and how they are computed. We further discuss technical details and potential data errors. According to the formal obligation, this document has to be cited when using the database or publishing results based (wholly or in part) on the database. The technical document can be accessed here>>>.

 

In Johann et al. (2019), we use this data to show recent developments of liquidity in the German stock market and provide summary statistics and graphs of the data. We also suggest additional ways to filter the data.

Johann, T., Scharnowski, S., Theissen, E., Westheide, C., & Zimmermann, L. (2019). Liquidity in the German stock market. Schmalenbach Business Review, 71(4), 443-473. https://doi.org/10.1007/s41464-019-00079-6

 

Contact

Please direct all questions regarding the database to Prof. Dr. Erik Theissen, Chair of Finance, University of Mannheim.

microstructure(at)ifk-cfs.de