DETERMINANTS OF PRICE QUOTE REVISIONS ON THE LONDON-STOCK-EXCHANGE

• 成果类型: Article
• 署名作者: SNELL, A; TONKS, I
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.2307/2235320
• 发表日期: 1995
• 页码: 77-94
• 关键词: consistent covariance-matrix; securities markets; INFORMATION; heteroskedasticity; models; trades

摘要

This paper investigates the determinants of price quote revisions on the London Stock Exchange for a sample of highly liquid stocks over a two-week settlement period in September 1990. In our theoretical model the level of optimal price quotes set by market makers are a function of the expected fundamental price, the expected number of liquidity trades and the lagged level of inventories. The model is used to test for the existence of adverse selection, inventory control and anticipated liquidity trade effects on quote revisions. Our findings are that while there seems to be some evidence of asymmetric information in our sample, market makers clearly take into account their inventory positions in the stocks in which they make a market, but there is little evidence that market makers exploit liquidity traders.