Al-Suhaibani, Mohammad; Kryzanowski, Lawrence - In: Journal of Financial Research 23 (2000) 2, pp. 145-56
Using order data for the Saudi Stock Market (SSM), we employ a new specification of an existing vector autoregressive (VAR) model to assess the information content of a newly submitted order. As predicted by the asymmetric information models, we find that larger and more aggressive orders are...