Disclosure and liquidity in a driven by orders market : empirical evidence from panel data

The purpose of this paper is to study the relationship between disclosure and liquidity. Previous empirical tests have focused only on US markets and have used standard least square estimation techniques even in the presence of panel data. We analyse a market (Madrid Stock Exchange) with special institutional features and use proper panel data techniques. We provide evidence in favour of a positive relationship between disclosure and liquidity. Our results prove that this positive relationship is robust to different market architectures and to the use of different liquidity measures.Mikel Tapia acknowledges research support from Ministerio de Ciencia y Tecnología grant SEJ2005-05485. Mónica Espinosa acknowledges research support from Ministerio de Ciencia y Tecnologia grant SEJ2004-08176. Marco Trombetta acknowledges research support from Ministerio de Ciencia y Tecnologia grant SEJ2007- 67582-CO2-01.Publicad