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

Rahman, Shafiqur and 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. ISSN 0924-865X

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.


Statistics for USQ ePrint 20175
Statistics for this ePrint Item
Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Permanent restricted access to paper due to publisher copyright restrictions.
Depositing User: Professor Chandrasekhar Krishnamurti
Faculty / Department / School: Historic - Faculty of Business - Department of Accounting
Date Deposited: 28 Nov 2011 11:16
Last Modified: 15 Oct 2014 05:31
Uncontrolled Keywords: intra-day dynamics, depth, volatility, trading activity, vector auto-regression
Fields of Research (FOR2008): 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance
Socio-Economic Objective (SEO2008): E Expanding Knowledge > 97 Expanding Knowledge > 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
Identification Number or DOI: doi: 10.1007/s11156-005-4244-x
URI: http://eprints.usq.edu.au/id/eprint/20175

Actions (login required)

View Item Archive Repository Staff Only