Bubak, Vit; Žikeš, Filip - Institut ekonomických studií, Univerzita Karlova v Praze - 2006
Using high-frequency trade and quote data from the Prague Stock Exchange, this paper investigates the price impact of stock trades using a vector autoregressive model. We find that (a) full impact of a trade on the security price is not felt instantaneously but a with a protracted lag, (b) as a...