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Measuring Price Impact and Information Content of Trades in a Time-Varying Setting
Campigli, Francesco; Bormetti, Giacomo; Lillo, Fabrizio - 2023
The estimation of market impact is crucial for measuring the information content of trades and for transaction cost analysis. Hasbrouck's (1991) seminal paper proposed a Structural-VAR (S-VAR) to jointly model mid-quote changes and trade signs. Recent literature has highlighted some pitfalls of...
Persistent link: https://www.econbiz.de/10014255241
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Stock Market Volatility Dynamics : A Volume Filtered-GARCH Model
Bonelli, Maxime - 2016
We present a two-factor volatility model to study the impact of news arrival and trading volume on stock returns variance. The model can explicitly account for the association between volatility and volume, as well as the persistence in equity variance. Unlike the standard "Mixture of...
Persistent link: https://www.econbiz.de/10012997324
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Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
Voges, Michelle; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: June 28, 2017
It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that...
Persistent link: https://www.econbiz.de/10011673153
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Regulatory Uncertainty and Market Liquidity : The 2008 Short Sale Ban's Impact on Equity Option Markets
Battalio, Robert H. - 2010
We examine how the confusion and regulatory uncertainty generated by the imposition of short sale restrictions in September 2008 impacted equity option markets. We uncover three primary findings. First, investors seeking short exposure in financial stocks did not migrate to the option market to...
Persistent link: https://www.econbiz.de/10013149179
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Modelling Price Movement and Trading Volume in Conditional Volatility
Ting, Sze Shih - 2009
This study investigates the relation between volatility in the returns and trading volume adjusted for overall up/down price movement in 59 stocks from the Australian market. Two proxies for rate of information arrival accommodating up/down price movement over the trading period and the...
Persistent link: https://www.econbiz.de/10013156830
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Emission Permits and the Announcement of Realized Emissions : Price Impact, Trading Volume, and Volatilities
Hitzemann, Steffen - 2016
This paper investigates the impact of the yearly announcement of realized emissions on the European carbon permit market. We find that this event generally leads to significant absolute abnormal returns on the event day, which are accompanied by increased trading volumes and high intraday...
Persistent link: https://www.econbiz.de/10013007371
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A theory of very short-time price change : security price drivers in times of high-frequency trading
Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34
, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans … and only manageable by computers is still lacking. The theory presented in this paper attempts to fill this gap. The … outcome of such a theory is important for purposes of market stability, crisis avoidance, investment planning, risk management …
Persistent link: https://www.econbiz.de/10013272630
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Return Anomalies, Disagreement, and Trading Volume
Basu, Sankarshan; Rangan, Srinivasan; Vidhani, Nikhil - 2023
We propose a new measure of investor disagreement based on thirty-nine factors from the return-predicting anomaly literature. Consistent with theoretical work on volume, we show that a one standard deviation change in anomaly-based disagreement is associated with a 16.7% higher turnover in the...
Persistent link: https://www.econbiz.de/10014348998
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Bitcoin's Price Alchemy : Unraveling the Influence of Macro Announcements on Volatility and Trading Volume in an Era of Rising Inflation
Johansson, Andreas; Vilhelmsson, Anders - 2023
Using high-frequency price and volume data from several large exchanges, we show that FOMC and CPI announcements have a massive impact on Bitcoin's realized volatility and volume. However, this effect is a recent phenomenon, which started as inflation rose at the beginning of 2021. We also...
Persistent link: https://www.econbiz.de/10014350108
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...
Persistent link: https://www.econbiz.de/10009579173