Showing 1 - 6 of 6
We explore in this paper how trading noise, when considered as a market friction, reacts to trading activity. Transactions cost is a good explanation for intraday trading behavior in the market according to our data. Particularly, we show that in general trading brings friction to market....
Persistent link: https://www.econbiz.de/10009654205
phenomenon arising from horizon-induced clientele equilibrium as well as information discovery. Specifically, we employ arguments … from models of liquidity concentration and benchmark security information. After examining time series behavior of price … errors against our fitted model, we find results consistent with both the horizon and information hypotheses. Our evidence …
Persistent link: https://www.econbiz.de/10009654213
Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how … liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price … enhanced when conditioning on trading liquidity. It reduces information asymmetry in the sense of Easley and O’Hara (2004) and …
Persistent link: https://www.econbiz.de/10009654214
We analyze in this study investor trading behavior based not on information related assumptions but on the search model …
Persistent link: https://www.econbiz.de/10009654221
We analyze in this study what could have caused herding in the stock market. Information cascades have often been … prediction of the information cascade hypothesis. Information cascade effect, if any, is actually stronger near market close than … rather than information related factors. …
Persistent link: https://www.econbiz.de/10008592948
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...
Persistent link: https://www.econbiz.de/10008839491