PRIVATE INFORMATION CONTENT OF A TRANSACTION AND ADVERSE SELECTION RISK

摘要：

In this paper we establish a vector autoregressive (VAR) model to study the role played by trade volume, duration, and other market factors (including volatility, spread, depth and buy-sell pressure) in the price impact of a transaction in an order-driven market. Using the impulse response functions., we measure the information content and information asymmetry risk of each transaction by estimating the permanent effect of the transaction on the price. We also estimate the time required for the price to incorporate the full information of a transaction. Our results show that, take Ceteris Paribus, the impact of a transaction on price is correlated positively with trade volume, spread, volatility and buy-sell pressure, and negatively with the depth and the interval between this transaction and the previous one. Those market factors contain some critical information which cannot been inferred from trade volume and duration, and enable us to better estimate the information-asymmetry risk1.

关键词： market microstructure price impact adverse selection risk VAR order-driven market

作者: Qiang Zhang

作者单位: School of Economics and Management, Beihang University, Beijing 100191, China School of Mathematics and Systems Science & LMIB, Beihang University, Beijing 100191, China

会议类型: 国际会议

会议名称: The Tneth International Conference on Industrial Management(第十届工业管理国际会议 ICIM 2010)

会议地点: 北京

会议语种:英文

页码: 451-458

在线出版日期: 2010-09-16（万方平台首次上网日期，不代表论文的发表时间）