The Area Banking, Finance, and Insurance is part of the Business School at the University of Mannheim. It has first-class facilities, internationally renowned faculty and conducts research in all areas of modern finance. More information are provided on the homepage of the Area Banking, Finance, and Insurance.
Liquidity of financial markets is important. It affects a multitude of economic outcomes such as trading profits, asset prices, real investment decisions, and corporate actions. However, measuring liquidity is no easy endeavor. One problem faced by researchers interested in liquidity is that measuring it oftentimes requires intraday high-frequency data. Such datasets are expensive and, because of their size, hard to work with.
We address this problem for the German equity market by providing a database that contains various daily market-microstructure measures of liquidity on the stock level for all stocks contained in the CDAX index from 1999 to 2013 traded on Xetra. All quote and trade data was provided by Deutsche Börse AG.
Using the Market Microstructure Database Xetra (MMDB-Xetra) allows researchers to focus on their research question without acquiring and working with intraday data themselves.
The database is available free of charge to qualifying researchers. It may be used only for scientific, non-commercial purposes. To obtain access to the database, please visit the website of the Center for Financial Research.
In a technical document we describe how we constructed the database. We explain the variables contained and how they are computed. We further discuss technical details and potential data errors. The technical document can be accessed here.
In Johann et al. (2018) we use this data to show recent developments of liquidity in the German stock market and provide summary statistics and graphs of the data. We also suggest additional ways to filter the data. The paper can be accessed here.
We gratefully acknowledge financial support from the German Science Foundation (DGF) under grant TH 724/
Staff and students of the University of Mannheim have access to the following financial databases:
All COMPUSTAT products, CRSP, AMADEUS, I/