The Liquidity of the German Equity Market: Data, Methodology, Results

我们的主要目标是创建一个包含德国股市每日流动性指标(约30个变量)的广泛数据库。承保期限为10年，所有股票都包含在CDAX中。该数据库将为今后微观结构及相关领域的研究提供重要信息。原始数据(约3TB的盘中数据)将由德意志交易所股份公司提供。我们将仔细筛选数据，然后将其汇总到每日水平。然后，每日数据将被输入到一个数据库中，该数据库将免费提供给其他研究人员。唯一的要求是，研究人员必须签署一份表格，保证他们只将数据用于研究目的(尤其是不用于商业目的)，并且他们不会将数据提供给第三方。德意志交易所已明确授予我们以这种特殊方式提供每日数据的权利。我们项目的第二个目标(与第一个目标密切相关)是创建一个技术文档。它将描述数据库的内容和结构，以便其他研究人员可以使用这些数据。我们的第三个目标是写一篇论文，描述和分析德国股票市场的交易活动和流动性。显然，本文将基于我们打算创建的数据集。第四个也是最后一个目标是写一篇分析低频流动性指标准确性的论文。在文献中已经提出了这样的措施(从1984年滚动开始)，以便提供当日内数据不可用(或太昂贵或太麻烦而无法使用)时可以计算的流动性衡量标准。以前对这类措施的评价使用了不同的方法，结果含糊不清。此外，几乎所有以前的论文都得出结论，在各自的论文中提出的低频度量比所有其他度量都要好。我们计划进行一项基于更广泛样本(德国和美国；这是合理的，因为这两个国家的市场结构截然不同)的分析。我们还计划使用更广泛的方法来确保我们结果的稳健性。

Our main objective is to create an extensive database containing daily liquidity measures (ca. 30 variables) for the German equity market. The coverage will be 10 years and all stocks contained in the CDAX. This database will provide important input for future research in microstructure and related areas. The raw data (approximately three terabyte of intraday data) will be provided by Deutsche Börse AG. We will carefully screen the data and then aggregate it to the daily level. The daily data wil then be fed into a database that will be freely and at no cost available to other researchers. The only requirement is that researchers have to sign a form un which they guarantee that the use the data for research purposes only (and in particular not for commercial purposes), and that they will not make the data available to third parties. Deutsche Börse has explicitly granted us the right to make the daily data available in this particular way. A second objective of our project (closely linked to the first one) is the creation of a technical document. It will describe the contents and structure of the database in a way such that other researchers can work with the data. Our third objective is to write a paper that describes and analyzes the trading activity and liquidity on the German equity market. Obviously this paper will be based on the data set we intend to create. The fourth and final objective is to write a paper that analyzes the accuracy of low-frequency liquidity measures. Such measures have been proposed in the literature (starting with Roll 1984) in order to provide measures of liquidity that can be calculated when intraday data is unavailable (or too expensive or too cumbersome to use). Previous evaluations of such measures use different methodology and yield ambiguous results. Further, almost all previous papers conclude that the low-frequency measure which has been proposed in the respective paper fares better than all other measures. We plan to perform an analysis that is based on a broader sample (Germany and the US; this is warranted because the market structure in the two countries is distinctly different). We further plan to use a broader set of methods to assure the robustness of our results.