Disclosure and Liquidity in a Driven by Orders Market: Empirical Evidence from Panel Data Articles uri icon

publication date

  • September 2008

start page

  • 339

end page

  • 370


  • 3


  • 32

International Standard Serial Number (ISSN)

  • 0210-1521

Electronic International Standard Serial Number (EISSN)

  • 1575-4367


  • The purpose of this paper is to study the relationship between disclosure and liquidity. Previous empirical tests have focused only on US markets and have used standard least square estimation techniques even in the presence of panel data. We analyse a market (Madrid Stock Exchange) with special institutional features and use proper panel data techniques. We provide evidence in favour of a positive relationship between disclosure and liquidity. Our results prove that this positive relationship is robust to different market architectures and to the use of different liquidity measures.. Disclosure, liquidity, market microstructure.