Nonlinear ACD model and informed trading: evidence from Shanghai stock exchange

Wong, Woon K., Tan, Dijun and Tian, Yixiang 2008. Nonlinear ACD model and informed trading: evidence from Shanghai stock exchange. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

Preview

PDF - Published Version Download (319kB) | Preview

Abstract

Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a nonlinear log-ACD model to stocks listed on Shanghai Stock Exchange. When trading volume is high, empirical findings suggest presence of informed trading in both liquid and illiquid stocks. When volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results support the price formation model of Foster and Viswanathan (Rev. Financial Studies (1990) 593).

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	06 Oct 2015 10:12
URI:	https://orca.cardiff.ac.uk/id/eprint/77786

Actions (repository staff only)

Edit Item