The dynamics of security trades, quote revisions and market depths for actively traded stocks: an empirical examination
Article
Article Title | The dynamics of security trades, quote revisions and market depths for actively traded stocks: an empirical examination |
---|---|
ERA Journal ID | 701 |
Article Category | Article |
Authors | Rahman, Shafiqur (Author), Krishnamurti, Chandrasekhar (Author) and Lee, Alice C. (Author) |
Editors | Lee, C.F. |
Journal Title | Review of Quantitative Finance and Accounting |
Journal Citation | 25 (2), pp. 91-124 |
Number of Pages | 34 |
Year | 2005 |
Place of Publication | Netherlands |
ISSN | 0924-865X |
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. |
Keywords | intra-day dynamics, depth, volatility, trading activity, vector auto-regression |
ANZSRC Field of Research 2020 | 350202. Finance |
Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
Byline Affiliations | Portland State University, United States |
Nanyang Technological University, Singapore | |
San Francisco State University, United States | |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q1003/the-dynamics-of-security-trades-quote-revisions-and-market-depths-for-actively-traded-stocks-an-empirical-examination
1840
total views6
total downloads0
views this month0
downloads this month