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Informationsbasierter Aktienhandel über IBIS

Author

Listed:
  • Joachim Grammig

    (Johann Wolfgang Goethe-Universität Frankfurt)

  • Dirk Schiereck

    (Universität Witten/Herdecke)

  • Erik Theissen

    (Groupe HEC
    Johann Wolfgang Goethe-Universität Frankfurt)

Abstract

Summary Based on a model by Easley/Kiefer/O’Hara/Paperman (1996) and a sample of IBIS-transactions of DAX stocks we have investigated the differential trader composition of the more actively and less frequently traded stocks. Our analysis reveals that the more actively traded stocks have a higher probability of information events, and a greater rate of informed and uninformed traders than do less frequently traded stocks. Furthermore, we present some new insight for the weekend effect with a significantly higher probability for negative information events on Mondays. Finally, we show that during periods of high return volatility a greater rate of informed and uninformed traders enter the market.

Suggested Citation

  • Joachim Grammig & Dirk Schiereck & Erik Theissen, 2000. "Informationsbasierter Aktienhandel über IBIS," Schmalenbach Journal of Business Research, Springer, vol. 52(7), pages 619-642, November.
    • Handle: RePEc:spr:sjobre:v:52:y:2000:i:7:d:10.1007_bf03372631
    DOI: 10.1007/BF03372631
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    References listed on IDEAS

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    Cited by:

    1. Trifan, Emanuela, 2004. "Entscheidungsregeln und ihr Einfluss auf den Aktienkurs," Darmstadt Discussion Papers in Economics 131, Darmstadt University of Technology, Department of Law and Economics.

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