Market Sidedness: Insights into Motives for Trade Initiation

• 成果类型: Article
• 署名作者: Sarkar, Asani; Schwartz, Robert A.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01437.x
• 发表日期: 2009
• 页码: 375-423
• 关键词: US TREASURY MARKET; Bid-ask spread; earnings announcements; public information; economic-news; Bond prices; volume; liquidity; STOCK; beliefs

摘要

We infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the correlation between the number of buyer- and seller-initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is more one-sided before merger news. Consistent with belief heterogeneity, trading is more two-sided before earnings and macro announcements with greater dispersion in analyst forecasts, and after news with larger announcement surprises. We examine the codeterminacy of sidedness, bid-ask spread, volatility, number of trades, and order imbalance.