Time and the price impact of a trade

• 成果类型: Article
• 署名作者: Dufour, A; Engle, RF
• 署名单位: University of Reading; University of California System; University of California San Diego; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00297
• 发表日期: 2000
• 页码: 2467-2498
• 关键词: Market microstructure; trading costs; Order Flow; INFORMATION; volume; liquidity; variance; security; patterns; MODEL

摘要

We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade-related information, and the positive autocorrelation of signed trades all increase. This suggests that times when markets are most active are times when there is an increased presence of informed traders; we interpret such markets as having reduced liquidity.