Information Asymmetry and Information Dissemination in High-Frequency Capital Markets

• Main Author: Pöppe, Thomas
• Format: Others
• Language: English; en
• Published: 2016
• Online Access: https://tuprints.ulb.tu-darmstadt.de/5354/1/Thomas%20Poeppe%20Dissertation_v1.2_Publikation.pdf; Pöppe, Thomas <http://tuprints.ulb.tu-darmstadt.de/view/person/P=F6ppe=3AThomas=3A=3A.html> (2016): Information Asymmetry and Information Dissemination in High-Frequency Capital Markets.Darmstadt, Technische Universität, [Ph.D. Thesis]

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.