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An Empirical Analysis of Strategic Behaviour Models

Author

Listed:
  • Carole Comerton-Forde

    (Discipline of Finance, Faculty of Economics and Business, University of Sydney, NSW 2006.)

  • Michael A. O'Brien

    (UQ Business School, University of Queensland QLD 4072.)

  • P. Joakim Westerholm

    (Discipline of Finance, Faculty of Economics and Business, University of Sydney, NSW 2006.)

Abstract

Existing theoretical models indicate that intraday patterns on stock exchanges are caused by the strategic interaction of informed and liquidity traders. Using unique data from the Helsinki Stock Exchange, which allows individual trades to be attributed to informed and liquidity traders, this paper examines strategic behaviour and intraday patterns. We find that both informed and liquidity traders concentrate trading at the open and close. The results illustrate that a significant proportion of intraday patterns can be explained by strategic trading by informed and liquidity traders.

Suggested Citation

  • Carole Comerton-Forde & Michael A. O'Brien & P. Joakim Westerholm, 2007. "An Empirical Analysis of Strategic Behaviour Models," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 181-203, December.
    • Handle: RePEc:sae:ausman:v:32:y:2007:i:2:p:181-203
    DOI: 10.1177/031289620703200202
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    References listed on IDEAS

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    Cited by:

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    3. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 547-564, November.

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