کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9554058 | 1375705 | 2005 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Information-based trading, price impact of trades, and trade autocorrelation
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In this study we show that both the price impact of trades and serial correlation in trade direction are positively and significantly related to the probability of information-based trading (PIN). The positive relation remains significant even after controlling for the effects of stock attributes. Higher trading activity (i.e., shorter intervals between trades) induces both larger price impact and stronger positive serial correlation in trade direction. The effect of time interval between trades on quote revision is stronger for stocks with higher PIN values. These results provide direct empirical support for the information models of trade and quote revision.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 29, Issue 7, July 2005, Pages 1645-1669
Journal: Journal of Banking & Finance - Volume 29, Issue 7, July 2005, Pages 1645-1669
نویسندگان
Kee H. Chung, Mingsheng Li, Thomas H. McInish,