Spierdijk, L. - Tilburg University, Center for Economic Research - 2002
Asymmetric information models predict comovements among trade characteristics such as returns, bid-ask spread, and … trade volume on one hand and the trading intensity on the other hand.In this paper we investigate empirically the two …-sided causality between trade characteristics and trading intensity.We apply a VAR-model for returns, bid-ask spread, trade volume …