Ekinci, Cumhur; Ersan, Oǧuz - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18
Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these...
