caa a22 4500 467895864 CHVBK 20180406152804.0 cr unu---uuuuu 170328e20060101xx s 000 0 eng 10.1007/s00181-005-0003-z doi (NATIONALLICENCE)springer-10.1007/s00181-005-0003-z How large is liquidity risk in an automated auction market? [Elektronische Daten] [Pierre Giot, Joachim Grammig] We introduce a new empirical methodology that models liquidity risk over short time periods for impatient traders who submit market orders. Using Value-at-Risk type measures, we quantify the liquidity risk premia for portfolios and individual stocks traded on the automated auction market Xetra. The specificity of our approach relies on the adequate econometric modelling of the potential price impact incurred by the liquidation of a portfolio. We study the sensitivity of liquidity risk towards portfolio size and traders' time horizon, and interpret its diurnal variation in the light of market microstructure theory. Springer-Verlag, 2005 Giot Pierre Department of Business Administration & CEREFIM, University of Namur, Rempart de la Vierge, 8, 5000, Namur, Belgium aut Grammig Joachim Faculty of Economics, University of Tübingen, Mohlstrasse 36, 72074, Tübingen, Germany aut Empirical Economics Physica-Verlag 30/4(2006-01-01), 867-887 0377-7332 30:4<867 2006 30 181 https://doi.org/10.1007/s00181-005-0003-z text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0003-z text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Giot Pierre Department of Business Administration & CEREFIM, University of Namur, Rempart de la Vierge, 8, 5000, Namur, Belgium aut NATIONALLICENCE 700 1- Grammig Joachim Faculty of Economics, University of Tübingen, Mohlstrasse 36, 72074, Tübingen, Germany aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 30/4(2006-01-01), 867-887 0377-7332 30:4<867 2006 30 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence SWISSBIB 067549098 BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer