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The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects

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dc.contributor.author Ben Sita, Bernard
dc.contributor.author Westerholm, P. Joakim
dc.date.accessioned 2016-12-15T07:37:48Z
dc.date.available 2016-12-15T07:37:48Z
dc.date.copyright 2011 en_US
dc.identifier.issn 1057-5219 en_US
dc.identifier.uri http://hdl.handle.net/10725/4945 en_US
dc.description.abstract In this paper, we investigate the information content of trading intensity applying the Madhavan, Richardson and Roomans (1997) structural model to express trading intensity as trading momentum in duration and volume. Using both transactions and intraday data from the Helsinki Stock Exchange Limit Order Bookmarket, we find that momentum in duration and volume enhances the information effect. We reach this conclusion based on the parametric effect determined by the sign and the magnitude of the coefficients associated with the trading intensity variables, the trading effect determined by the ratio of transitory effects to permanent effects, and the economic effect determined by the size of the implicit bid–ask spread. While we find that the implicit bid–ask spread and transitory effects are decreasing toward the end of the trading day in consistency with information models in the literature, there is a surge of trades at the market close, most probably due to information uncertainty at market opening in New York. en_US
dc.language.iso en en_US
dc.title The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.relation.journal International Review of Financial Analysis en_US
dc.journal.volume 20 en_US
dc.journal.issue 5 en_US
dc.article.pages 306-310 en_US
dc.keywords Trading intensity en_US
dc.keywords Bid–ask spread en_US
dc.keywords ACD en_US
dc.keywords Duration en_US
dc.keywords Volume en_US
dc.identifier.doi http://dx.doi.org/10.1016/j.irfa.2011.06.002 en_US
dc.identifier.ctation Sita, B. B., & Westerholm, P. J. (2011). The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects. International Review of Financial Analysis, 20(5), 306-310. en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.sciencedirect.com/science/article/pii/S1057521911000639?np=y en_US
dc.author.affiliation Lebanese American University en_US


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