TY - UNPB
T1 - An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE
AU - Spierdijk, L.
N1 - Pagination: 33
PY - 2002
Y1 - 2002
N2 - Asymmetric information models predict comovements among trade characteristics such as returns, bid-ask spread, and trade volume on one hand and the trading intensity on the other hand.In this paper we investigate empirically the two-sided causality between trade characteristics and trading intensity.We apply a VAR-model for returns, bid-ask spread, trade volume, and trading intensity to transaction data on five stocks traded on the NYSE, covering the period August 1 until October 31, 1999.Similar to Dufour and Engle (2000), we find that the price impact of a trade is larger, the higher the trading intensity.Moreover, we establish significant feedback from the trade characteristics to the the trading intensity.Wide spreads, large volume, and high returns have a significantly positive impact on the trading intensity.We show that this feedback affects the price impact of large trades in transaction and in calendar time.
AB - Asymmetric information models predict comovements among trade characteristics such as returns, bid-ask spread, and trade volume on one hand and the trading intensity on the other hand.In this paper we investigate empirically the two-sided causality between trade characteristics and trading intensity.We apply a VAR-model for returns, bid-ask spread, trade volume, and trading intensity to transaction data on five stocks traded on the NYSE, covering the period August 1 until October 31, 1999.Similar to Dufour and Engle (2000), we find that the price impact of a trade is larger, the higher the trading intensity.Moreover, we establish significant feedback from the trade characteristics to the the trading intensity.Wide spreads, large volume, and high returns have a significantly positive impact on the trading intensity.We show that this feedback affects the price impact of large trades in transaction and in calendar time.
KW - vector autoregressive models
KW - prices
KW - trade
KW - duration ananlysis
M3 - Discussion paper
VL - 2002-30
T3 - CentER Discussion Paper
BT - An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE
PB - Econometrics
CY - Tilburg
ER -