Market liquidity dynamics

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Type and Duration

PhD-Thesis, September 2016 until August 2020 (finished)


Chair in Finance

Main Research

Wealth Management

Field of Research

Behavioural Finance


In several segments of financial markets, trading books shrink, passive investment strategies become more important and the execution risk shifts from dealers to investors. As a result, liquidity has gained relevance for academia, regulators, investors, market makers and issuers. However, academic research on liquidity is still at an early stage for measurement and data availability problems.

This dissertation therefore analyses liquidity dynamics of international stock and bond markets. It is made up of four articles: The first one shows the importance of liquidity for stock price patterns. The second publication analyzes the general drivers of liquidity for fixed-income instruments. It demonstrates that in addition to a bond's size, age and risk properties liquidity is influenced by primary market activity, demand and allocation during the initial offering and by seasonality. While the third publication analyses seasonality in bond liquidity in greater detail, the fourth one concentrates on primary market effects.


market microstructure, market liquidity, covered bonds


  • Hanke, M., & Weigerding, M. (2015). Order flow imbalance effects on the German stock market. Business Research (BuR), 8(2), 213-238. (VHB_3: B)