Empirical studies of market microstructure

L. Spierdijk

Research output: ThesisDoctoral ThesisScientific

327 Downloads (Pure)

Abstract

In efficient markets, security prices move in response to the release of new information. Since transactions contain information, trading itself causes traders and market makers to update their beliefs and prices to be revised. The main part of this thesis (Chapters 2, 3, and 4) is devoted to the empirical investigation of how stock prices are updated in response to (large) trades, using tick-by-tick data distributed by the New York Stock Exchange. We show that market activity and trading volume are important determinants of the impact of trades on prices. Moreover, we show that there are large differences in price impact and price dynamics between frequently and infrequently traded stocks. In the final chapter of this dissertation (Chapter 5) we examine empirically the existence of comovements in the trading intensities of stocks of US department-store operators. We find significant comovements in the trading intensities of the stocks in this type of industry, which we explain by distinguishing idiosyncratic stock-specific news that applies to one stock only and sector-specific news that is potentially relevant for stocks in the same type of industry.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Nijman, Theo, Promotor
  • van Soest, Arthur, Promotor
Award date10 Jun 2003
Place of PublicationTilburg
Publisher
Print ISBNs905668115X
Publication statusPublished - 2003

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Empirical study
Market microstructure
Industry
Ticks
News
Trade intensity
Comovement
Security price
Efficient markets
Traders
Price impact
Market activity
Stock prices
Price dynamics
Trading volume
Market makers
Empirical investigation
Operator
New York Stock Exchange
Department stores

Cite this

Spierdijk, L. (2003). Empirical studies of market microstructure. Tilburg: CentER, Center for Economic Research.
Spierdijk, L.. / Empirical studies of market microstructure. Tilburg : CentER, Center for Economic Research, 2003. 149 p.
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abstract = "In efficient markets, security prices move in response to the release of new information. Since transactions contain information, trading itself causes traders and market makers to update their beliefs and prices to be revised. The main part of this thesis (Chapters 2, 3, and 4) is devoted to the empirical investigation of how stock prices are updated in response to (large) trades, using tick-by-tick data distributed by the New York Stock Exchange. We show that market activity and trading volume are important determinants of the impact of trades on prices. Moreover, we show that there are large differences in price impact and price dynamics between frequently and infrequently traded stocks. In the final chapter of this dissertation (Chapter 5) we examine empirically the existence of comovements in the trading intensities of stocks of US department-store operators. We find significant comovements in the trading intensities of the stocks in this type of industry, which we explain by distinguishing idiosyncratic stock-specific news that applies to one stock only and sector-specific news that is potentially relevant for stocks in the same type of industry.",
author = "L. Spierdijk",
year = "2003",
language = "English",
isbn = "905668115X",
series = "CentER Dissertation Series",
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}

Spierdijk, L 2003, 'Empirical studies of market microstructure', Doctor of Philosophy, Tilburg University, Tilburg.

Empirical studies of market microstructure. / Spierdijk, L.

Tilburg : CentER, Center for Economic Research, 2003. 149 p.

Research output: ThesisDoctoral ThesisScientific

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AU - Spierdijk, L.

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N2 - In efficient markets, security prices move in response to the release of new information. Since transactions contain information, trading itself causes traders and market makers to update their beliefs and prices to be revised. The main part of this thesis (Chapters 2, 3, and 4) is devoted to the empirical investigation of how stock prices are updated in response to (large) trades, using tick-by-tick data distributed by the New York Stock Exchange. We show that market activity and trading volume are important determinants of the impact of trades on prices. Moreover, we show that there are large differences in price impact and price dynamics between frequently and infrequently traded stocks. In the final chapter of this dissertation (Chapter 5) we examine empirically the existence of comovements in the trading intensities of stocks of US department-store operators. We find significant comovements in the trading intensities of the stocks in this type of industry, which we explain by distinguishing idiosyncratic stock-specific news that applies to one stock only and sector-specific news that is potentially relevant for stocks in the same type of industry.

AB - In efficient markets, security prices move in response to the release of new information. Since transactions contain information, trading itself causes traders and market makers to update their beliefs and prices to be revised. The main part of this thesis (Chapters 2, 3, and 4) is devoted to the empirical investigation of how stock prices are updated in response to (large) trades, using tick-by-tick data distributed by the New York Stock Exchange. We show that market activity and trading volume are important determinants of the impact of trades on prices. Moreover, we show that there are large differences in price impact and price dynamics between frequently and infrequently traded stocks. In the final chapter of this dissertation (Chapter 5) we examine empirically the existence of comovements in the trading intensities of stocks of US department-store operators. We find significant comovements in the trading intensities of the stocks in this type of industry, which we explain by distinguishing idiosyncratic stock-specific news that applies to one stock only and sector-specific news that is potentially relevant for stocks in the same type of industry.

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Spierdijk L. Empirical studies of market microstructure. Tilburg: CentER, Center for Economic Research, 2003. 149 p. (CentER Dissertation Series).