Chakravarty, Sugato; Harris, Fredreck H. deB.; Wood, … - Krannert School of Management, Purdue University - 2001
This paper investigates the order in which new information is first reflected in the market – through changes in spreads or through updated depths. We develop an error correction model of spreads and depths and estimate Gonzalo-Granger common factor components using two years of tick-by-tick...