Information-based trading, price impact of trades, and trade autocorrelation

被引：27
作者：
Chung, KH [1 ]
Li, MS
McInish, TH
机构：
[1] SUNY Buffalo, Dept Finance & Managerial Econ, Buffalo, NY 14260 USA
[2] Univ Louisiana Monroe, Monroe, LA 71209 USA
[3] Univ Memphis, Memphis, TN 38152 USA
来源：
JOURNAL OF BANKING & FINANCE | 2005年 / 29卷 / 07期
关键词：
quote revisions; asymmetric information; price impact; trade autocorrelation;
D O I：
10.1016/j.jbankfin.2004.08.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this study we show that both the price impact of trades and serial correlation in trade direction are positively and significantly related to the probability of information-based trading (PIN). The positive relation remains significant even after controlling for the effects of stock attributes. Higher trading activity (i.e., shorter intervals between trades) induces both larger price impact and stronger positive serial correlation in trade direction. The effect of time interval between trades on quote revision is stronger for stocks with higher PIN values. These results provide direct empirical support for the information models of trade and quote revision. (c) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码：1645 / 1669
页数：25
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