Time And The Price Impact of A Trade  

Oleh:

Engle, Robert F. ; Dufour, Alfonso

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 6 (2000), page 2467-2498.
Topik: trading; securities markets; models; studies; stock prices; time
Fulltext: p 2467.pdf (403.55KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We use hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustmnet to trade - related information and the positive autocorrelation of signed trades all increase. Thi suggests tha times when markets are most active are times when there is an increased presence of informed traders, we interpret such markets as having reduced liquidity.

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