An empirical analysis of the role of the trading intensity in information dissemination on the NYSE

Laura Spierdijk

    Research output: Contribution to journalArticleAcademicpeer-review

    18 Citations (Scopus)

    Abstract

    In this paper, we use high-frequency data on five frequently traded stocks listed on the New York Stock Exchange (NYSE) in the year 1999 to examine the price impact of trades and its relation to the trading intensity. We show that the distribution of the absolute price change with fast trading first-order stochastically dominates the distribution of the absolute price change with slow trading. Moreover, we find significant causality from the trade characteristics to the trading intensity. Large trades significantly increase the speed of trading, while large returns tend to decrease the trading intensity. We show that this feedback has little impact on the distribution of the price impact of trades.
    Original languageEnglish
    Pages (from-to)163-184
    Number of pages21
    JournalJournal of empirical finance
    Volume11
    Issue number2
    DOIs
    Publication statusPublished - 2004

    Keywords

    • Price impact
    • Trading intensity
    • VAR-model
    • ACD-model

    Fingerprint Dive into the research topics of 'An empirical analysis of the role of the trading intensity in information dissemination on the NYSE'. Together they form a unique fingerprint.

    Cite this