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Easley / Kiefer / O'Hara / Paperman (1996) (EKOP) have proposed an empirical methodology that allows to estimate the probability of informed trading and that has subsequently been used to address a wide range of issues in market microstructure. The data needed for estimation is the number of...
Persistent link: https://www.econbiz.de/10010274034
Easley / Kiefer / O'Hara / Paperman (1996) (EKOP) have proposed an empirical methodology that allows to estimate the probability of informed trading and that has subsequently been used to address a wide range of issues in market microstructure. The data needed for estimation is the number of...
Persistent link: https://www.econbiz.de/10005200671
Persistent link: https://www.econbiz.de/10012169133
In this paper we investigate the presence of asymmetric information in the parallel trading of ten-year government fixed rate bonds (BTP) on two secondary electronic platforms: the business-to-business (B2B) MTS platform and the business-to-customer (B2C) BondVision one. The two platforms are...
Persistent link: https://www.econbiz.de/10004998519
The problem of classifying trades as buys or sells is examined. I propose estimated quotes for midpoint and bid/ask tests and a modeling approach to classification. Prevailing quotes are estimated using flexible approximations to the distribution for delays of quotes relative to trade...
Persistent link: https://www.econbiz.de/10005619383
En este estudio se estima la probabilidad de transacciones informadas comportamiento y sus efectos en los rendimientos diarios e intradiarios en Latinoamérica. Calculando la probabilidad diaria dinámica de transacciones informadas (Easley, Engle, O´Hara y Wu, 2008), como una medida del nivel...
Persistent link: https://www.econbiz.de/10010827914
The link between informed trading and the bid-ask spread has been the focus of abundant literature and some authors feared that a large amount of informed trading might lead to shutdown of markets. We explore this issue using data from the Czech Republic. Our estimates confirm that the share of...
Persistent link: https://www.econbiz.de/10005134765
The link between informed trading and the bid-ask spread has been the focus of abundant literature and some authors feared that a large amount of informed trading might lead to shutdown of markets. We explore this issue using data from the Czech Republic. Our estimates confirm that the share of...
Persistent link: https://www.econbiz.de/10005086668
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10010281537
By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found evidence that is consistent with the idea that option...
Persistent link: https://www.econbiz.de/10013201357