No. 2002-30 AN EMPIRICAL ANALYSIS OF THE ROLE OF THE TRADING INTENSITY IN INFORMATION DISSEMINATION ON THE NYSE
نویسنده
چکیده
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.
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An empirical analysis of the role of the trading intensity in information dissemination on the NYSE
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