Essays on liquidity in financial markets [Elektronische Ressource] / vorgelegt von Jördis Hengelbrock

Essays on Liquidity in Financial MarketsInaugural-Dissertationzur Erlangung des Grades eines Doktorsder Wirtschafts- und Gesellschaftswissenschaftendurch dieRechts- und Staatswissenschaftliche Fakult¨atder Rheinischen Friedrich-Wilhelms-Universit¨atBonnvorgelegt von¨Jordis Hengelbrockaus Traben-TrarbachBonn 2009Dekan: Prof. Dr. Christian HillgruberErstreferent: Prof. Dr. Erik TheissenZweitreferent: Prof. Dr. Gunther WuytsTag der mu¨ndlichen Pru¨fung: 30.09.2009to my familyAcknowledgmentsIowemuchgratitudetomysupervisorErikTheissenforhisexcellentguidancethroughoutthe dissertation. I greatly benefitted from his fruitful advice and insightful commentsduring countless discussions. Due to his support, I was able to spend several months attheHECParis. IwouldalsoliketothankGuntherWuytswhokindlyagreedtobepartofmy dissertation committee. He provided valuable comments and suggestions, especiallywith respect to the publication of my research.My work has benefitted from productive comments in- and outside the seminars at theUniversityof Bonnandthe HEC Paris. In particular, I wouldlike to thankJ¨org Breitungfor his econometric support and Mark van Achter for constructive discussions and helpfulsuggestions. ManythanksgotoThierryFoucaultforgivingmetheopportunitytoconductresearch at the HEC Paris and for stimulating discussions. I took very much pleasure inboth the academic and recreational interaction with my fellow graduate students andpost-doctoral fellows.