Information flow and pricing errors: A unified approach to estimation and testing

• 成果类型: Article
• 署名作者: George, TJ; Hwang, CY
• 署名单位: University of Iowa; Hong Kong University of Science & Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/14.4.979
• 发表日期: 2001
• 页码: 979
• 关键词: BID-ASK SPREAD; STOCK-RETURN VARIANCES; trading volume; time-series; volatility; components; MARKET; prices; models; trades

摘要

This study examines whether rates of information flow differ between trading and non-trading periods, and whether the variances of pricing errors differ at the open and close of trading. The approach improves on existing methods by allowing for correlation between pricing errors and information flow, and by conducting inferences at the individual security level. The daytime rate of information flow is about seven times the overnight rate, and the variances of pricing errors at the open are not different from those at the close of trading. This evidence differs from existing results based on return variance ratios.