Nonlinear ACD model and informed trading : evidence from Shanghai Stock Exchange

Woon K. Wong, Dijun Tan and Yixiang Tian

Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a nonlinear log-ACD model to stocks listed on Shanghai Stock Exchange. When trading volume is high, empirical findings suggest presence of informed trading in both liquid and illiquid stocks. When volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results support the price formation model of Foster and Viswanathan (Rev. Financial Studies (1990) 593). -- Informed trading ; Liquidity trading ; Duration ; Volume ; Volatility

MoreLess

Year of publication:	2008
Other Persons:	Wong, Woon K. (contributor) ; Tan, Dijun (contributor) ; Tian, Yixiang (contributor)
Publisher:	Cardiff : Cardiff Univ, Cardiff Business School, Economics Section
Subject:	Wertpapierhandel \| Securities trading \| Börsenmakler \| Stockbrokers \| Information \| Handelsvolumen der Börse \| Trading volume \| Volatilität \| Volatility \| USA \| United States \| New York