Why do security prices change? A transaction-level analysis of NYSE stocks

• 成果类型: Article
• 署名作者: Madhavan, A; Richardson, M; Roomans, M
• 署名单位: New York University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/10.4.1035
• 发表日期: 1997
• 页码: 1035
• 关键词: BID-ASK SPREAD; Market makers; trading mechanisms; ODD-8TH QUOTES; components; INFORMATION; returns; trades; inventories; patterns

摘要

This article develops and tests a structural model of intraday price formation that embodies public information shocks and microstructure effects. We use the model to analyze intraday patterns in bid-ask spreads, price volatility, transaction costs, and return and quote auto-correlations, and to construct metrics for price discovery and effective trading costs. Information asymmetry and uncertainty over fundamentals decrease over the day, although transaction costs increase The results help explain the U-shaped pattern in intraday bid-ask, spreads and volatility, and are also consistent with the intraday decline in the variance of ask price changes.