This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is significantly higher. Commonality in liquidity is highest during the financial crisis. We also find significant commonality between liquidity in the US and the German equity markets.

中文翻译：

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德国股票市场的流动性

本文介绍了迄今为止德国股票市场中最广泛的流动性分析。我们研究了流动性随时间的演变，流动性的决定因素以及各个流动性指标和国家之间的共同性。我们利用了一个新的公开可用的数据集，即市场微观结构数据库Xetra（MMDB-Xetra）。我们发现，流动性通常随着时间的推移而增加，而在危机时期流动性较低，流动性的波动性则明显较高。在金融危机期间，流动性的普遍性最高。我们还发现美国和德国股票市场的流动性之间存在显着的共性。