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Information Asymmetry and Information Dissemination in High-Frequency Capital Markets

Pöppe, Thomas (2016):
Information Asymmetry and Information Dissemination in High-Frequency Capital Markets.
Darmstadt, Technische Universität, [Online-Edition: http://tuprints.ulb.tu-darmstadt.de/5354],
[Ph.D. Thesis]

Abstract

This dissertation is concerned with information asymmetry and information dissemination in high-frequency capital markets. At the intersection of information dissemination and asymmetry with market microstructure, this dissertation pursues three major goals. We propose enhancements to market microstructure methodology to be able to empirically conduct research on information dissemination and asymmetry on recent, high-frequency trading data. Second, we empirically evaluate related microstructure methodology to test its robustness and guide researchers in its application. Third, we employ the proposed methodology to evaluate the efficacy of different information channels, both traditional, legislation-based and new, technology-based channels.

Item Type: Ph.D. Thesis
Erschienen: 2016
Creators: Pöppe, Thomas
Title: Information Asymmetry and Information Dissemination in High-Frequency Capital Markets
Language: English
Abstract:

This dissertation is concerned with information asymmetry and information dissemination in high-frequency capital markets. At the intersection of information dissemination and asymmetry with market microstructure, this dissertation pursues three major goals. We propose enhancements to market microstructure methodology to be able to empirically conduct research on information dissemination and asymmetry on recent, high-frequency trading data. Second, we empirically evaluate related microstructure methodology to test its robustness and guide researchers in its application. Third, we employ the proposed methodology to evaluate the efficacy of different information channels, both traditional, legislation-based and new, technology-based channels.

Place of Publication: Darmstadt
Divisions: 01 Department of Law and Economics
01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete
01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Corporate finance
Date Deposited: 27 Mar 2016 19:55
Official URL: http://tuprints.ulb.tu-darmstadt.de/5354
URN: urn:nbn:de:tuda-tuprints-53540
Referees: Schiereck, Prof. Dirk and Benlian, Prof. Alexander
Refereed / Verteidigung / mdl. Prüfung: 15 October 2015
Alternative Abstract:
Alternative abstract Language
Diese Dissertation befasst sich mit Informationsasymmetrien und Informationsverbreitung in hochfrequent handelnden Kapitalmärkten. An dieser Schnittstelle von Informationsasymmetrie, Informationsverbreitung und Marktmikrostrukturtheorie verfolgt diese Dissertation drei wesentliche Ziele. Ich entwerfe zum einen Erweiterungen zu bestehenden Modellen und Methoden der Marktmikrostrukturtheorie, um Informationsasymmetrien auf Daten heutiger, hochfrequent handelnder Börsen empirisch zu untersuchen. Zweitens evaluiere ich empirisch die Sensitivität und Robustheit verwandter Methoden der Marktmikrostruktur zur Messung von Informationsasymmetrie, um deren Anwendbarkeit für die aktuelle Forschung zu testen. Drittens wende ich die vorgestellte Methodik an, um die Wirksamkeit und Effizienz von verschiedenen Informationskanälen, d.h. sowohl traditionellen, durch Gesetzgebung festgelegten Kanälen, als auch modernen, internetbasierten Kanälen, zu untersuchen.German
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