Nonlinear ACD Model and Informed Trading: Evidence from Shanghai Stock Exchange
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KeywordsInformed trading; Liquidity trading; Duration; Volume; Volatility;
- 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 fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-05 (All new papers)
- NEP-IFN-2008-05-05 (International Finance)
- NEP-MST-2008-05-05 (Market Microstructure)
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