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The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity

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  • Spierdijk, L.

    (Tilburg University, Center For Economic Research)

  • Nijman, T.E.

    (Tilburg University, Center For Economic Research)

  • van Soest, A.H.O.

    (Tilburg University, Center For Economic Research)

Abstract

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Suggested Citation

  • Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002. "The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity," Discussion Paper 2002-29, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:d8b70967-e398-4f5d-825b-1234683df6af
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    References listed on IDEAS

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    1. Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.
    3. Spierdijk, L., 2002. "An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE," Other publications TiSEM d495caf0-2f2a-425f-8e50-e, Tilburg University, School of Economics and Management.
    4. Drost, Feike C & Werker, Bas J M, 2004. "Semiparametric Duration Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 40-50, January.
    5. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    6. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 159-188.
    7. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    8. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
    9. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    10. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-595.
    11. Spierdijk, L., 2002. "An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE," Discussion Paper 2002-30, Tilburg University, Center for Economic Research.
    12. Easley, David, et al, 1996. "Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-1436, September.
    13. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
    14. Zebedee, Allan A., 2001. "The impact of a trade on national best bid and offer quotes: a new approach to modeling irregularly spaced data," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 363-383, December.
    15. Easley, David & O'Hara, Maureen, 1992. "Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
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    Cited by:

    1. Luc Bauwens & Nikolaus Hautsch, 2006. "Stochastic Conditional Intensity Processes," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 450-493.
    2. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
    3. Craig H. Furfine, 2003. "When is inter-transaction time informative?," Working Paper Series WP-03-04, Federal Reserve Bank of Chicago.

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