IDEAS home Printed from https://ideas.repec.org/p/cdf/wpaper/2008-8.html
   My bibliography  Save this paper

Nonlinear ACD Model and Informed Trading: Evidence from Shanghai Stock Exchange

Author

Listed:
  • Wong, Woon K

    () (Cardiff Business School)

  • Tan, Dijun
  • Tian, Yixiang

Abstract

Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a nonlinear log-ACD model to stocks listed on Shanghai Stock Exchange. When trading volume is high, empirical findings suggest presence of informed trading in both liquid and illiquid stocks. When volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results support the price formation model of Foster and Viswanathan (Rev. Financial Studies (1990) 593).

Suggested Citation

  • Wong, Woon K & Tan, Dijun & Tian, Yixiang, 2008. "Nonlinear ACD Model and Informed Trading: Evidence from Shanghai Stock Exchange," Cardiff Economics Working Papers E2008/8, Cardiff University, Cardiff Business School, Economics Section.
  • Handle: RePEc:cdf:wpaper:2008/8
    as

    Download full text from publisher

    File URL: http://carbsecon.com/wp/E2008_8.pdf
    Download Restriction: no

    More about this item

    Keywords

    Informed trading; Liquidity trading; Duration; Volume; Volatility;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cdf:wpaper:2008/8. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yongdeng Xu). General contact details of provider: http://edirc.repec.org/data/ecscfuk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.