Information Flow, Volatility and Spreads of Infreuently Traded Nasdaq Stocks
This paper examines the information flow, return volatility, and trading costs of infrequently traded stocks. A mixture-of-distribution model is employed to decompose volume into informed and liquidity components. It is found that the intensity of informed trading is higher for infrequently traded s...
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2004
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/828 |
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