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Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español

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Author Info

  • David Abad

    ()
    (Universidad de Alicante)

  • Antonio Rubia

    (Universidad de Alicante)

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    Abstract

    Determining the degree of informational asymmetry is a major topic in the literature of modern microstructure. In this paper, we review and analyze the suitability of the models for estimating the probability of informed trading [Easley et al., 1996; Nyholm, 2002, 2003]. The empirical analysis is carried out on the Spanish market. We find evidence suggesting that the regime-switching model by Nyholm (2002, 2003) does not provide estimates consistent with the effects of asymmetry. The specific analysis on the Spanish market reveals a higher likelihood of informed trading for the less-frequently traded assets as a consequence of the dramatic fall in the number of liquidity traders. This issue suggests a strong degree of aversion to the risk of adverse selection. Caracterizar el grado de asimetría informativa ocupa un papel predominante en la literatura de microestructura moderna. En este trabajo, se revisa y analiza la idoneidad de los métodos existentes para calibrar la probabilidad de negociación informada [Easley et al., 1996; Nyholm, 2002, 2003]. El análisis empírico toma como referencia el mercado español. La evidencia obtenida señala que el modelo de régimen cambiante de Nyholm (2002, 2003) no ofrece medidas consistentes con los efectos de asimetría informativa. El análisis sobre el mercado español revela una mayor probabilidad de negociación informada en los activos menos líquidos como consecuencia de una reducción drástica en el número de agentes que negocia por motivos de liquidez. Esta evidencia sugiere un fuerte comportamiento de aversión al riesgo de selección adversa.

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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2005-12.pdf
    File Function: Fisrt version / Primera version, 2005
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    Bibliographic Info

    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2005-12.

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    Length: 37 pages
    Date of creation: Apr 2005
    Date of revision:
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2005-12

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    Related research

    Keywords: Información asimétrica; selección adversa; probabilidad de negociación informada; PIN Asymmetric information; adverse selection; probability of informed trading; PIN;

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    References

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    1. Theissen, Erik, 2000. "Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets," Journal of Financial Markets, Elsevier, vol. 3(4), pages 333-363, November.
    2. Grammig, Joachim & Schiereck, Dirk & Theissen, Erik, 2001. "Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets," Journal of Financial Markets, Elsevier, vol. 4(4), pages 385-412, October.
    3. Ken Nyholm, 2002. "Estimating the Probability of Informed Trading," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 25(4), pages 485-505.
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    5. David Abad & Antonio Rubia, 2004. "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD 2004-38, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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    23. Ken Nyholm, 2003. "Inferring the private information content of trades: a regime-switching approach The views presented in the paper are not necessarily shared by the European Central Bank," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 457-470.
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