The dynamics of security trades, quote revisions and market depths for actively traded stocks: an empirical examination

Article

Rahman, Shafiqur, Krishnamurti, Chandrasekhar and Lee, Alice C.. 2005. "The dynamics of security trades, quote revisions and market depths for actively traded stocks: an empirical examination." Review of Quantitative Finance and Accounting. 25 (2), pp. 91-124. https://doi.org/10.1007/s11156-005-4244-x
Article Title

The dynamics of security trades, quote revisions and market depths for actively traded stocks: an empirical examination

ERA Journal ID701
Article CategoryArticle
AuthorsRahman, Shafiqur (Author), Krishnamurti, Chandrasekhar (Author) and Lee, Alice C. (Author)
EditorsLee, C.F.
Journal TitleReview of Quantitative Finance and Accounting
Journal Citation25 (2), pp. 91-124
Number of Pages34
Year2005
Place of PublicationNetherlands
ISSN0924-865X
1573-7179
Digital Object Identifier (DOI)https://doi.org/10.1007/s11156-005-4244-x
Web Address (URL)http://www.springer.com/business+%26+management/finance/journal/11156
Abstract

We examine the dynamics of return volatility, trading volume, and depth—in an intraday setting for a sample of actively traded NYSE and NASDAQ stocks. We show that depth is a useful intervening variable and mitigates the impact of trading activity on price volatility. Furthermore, depth is affected by the perception of prevailing information asymmetry between informed and uninformed traders. We demonstrate empirically that the NYSE supplies greater depth under conditions of high, perceived information asymmetry as compared to NASDAQ. NASDAQ makes up for this deficiency by its capability of managing large volume shocks without a major decline in depth.

Keywordsintra-day dynamics, depth, volatility, trading activity, vector auto-regression
ANZSRC Field of Research 2020350202. Finance
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Byline AffiliationsPortland State University, United States
Nanyang Technological University, Singapore
San Francisco State University, United States
Institution of OriginUniversity of Southern Queensland
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