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
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Identification Number or DOI: doi: 10.1007/s11156-005-4244-x
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.
|Item Type:||Article (Commonwealth Reporting Category C)|
|Additional Information:||Permanent restricted access to paper due to publisher copyright restrictions.|
|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|
|Deposited On:||28 Nov 2011 21:16|
|Last Modified:||29 Nov 2011 10:15|
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