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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)
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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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
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Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2005-12

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

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Find related papers by JEL classification:
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information

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