Order characteristics and stock price evolution - An application to program trading

• 成果类型: Article
• 署名作者: Hasbrouck, J
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00858-C
• 发表日期: 1996
• 页码: 129-149
• 关键词: Market microstructure; program trading; INDEX ARBITRAGE; Equity trading; Market making

摘要

This paper is an econometric analysis of the information content of automated orders arriving at the NYSE. The model captures the joint behavior of automated orders and also the return on the stock index future and the futures-spot basis. The results indicate that orders contain information useful in predicting stock returns beyond the information contained in the reported trades. Furthermore, program and index-arbitrage orders contain information beyond that available from the futures return and basis, suggesting that these orders are not merely passive conveyors of common-factor information. Nonprogram, program, and index-arbitrage orders have roughly similar price impacts.