Giot And Grammig-How Large Is Liquidity Risk In An Automated Auction Market

Giot And Grammig-How Large Is Liquidity Risk In An Automated Auction Market

Auction Market

We introduce a new empirical methodology that takes account of liquidity risk

in a Value-at-Risk framework, and quantify liquidity risk premiums for portfolios

and individual stocks traded on the auto mated \auction market Xetra which

oper-ates at various European exchanges. When constructing liquidity

risk measures we allow for the potential price impact incurred by the liquidation

of a portfolio. We study the sensitivity of liquidity risk towards portfolio size and

VaR time horizon,and interpret its diurnal variation in the light of

market microstructure theory.

\Auction Market

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