We analyze in this study investor trading behavior based not on information related assumptions but on the search model of Vayanos and Wang (2007). Our study shows that search cost dictates trading polarization across investors, firm size and time of day. We find that individual investors prefer...

Using complete intraday orders data, this paper compares strategic liquidity provision of institutions and individuals during price jumps. Consistent with risk-return trade-off models, we find evidence that liquidity provision is increasing with jump size (i.e., strategic liquidity provision)...

We attempt to identify in this paper the role of trading noise as a transactions cost to market participant in the sense of Stoll (2000), especially in the presence of trading concentration. Applying the measures of Hu (2006) and Kang and Yeo (2008), we analyze the noise proportion in intraday...