The Information Content of Trades of Inactive Nasdaq Stocks

• Main Authors: CHEN, Peter, MAN, Kasing, WU, Chunchi
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2003
• Subjects: Information Content; Trading; Inactive Stocks; NASDAQ; Business; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/832
• Institution: Singapore Management University

In this paper we analyze the frequency and information content of small Nasdaq stock trades and their impacts on return volatility at the intraday interval. We employ an autoregressive conditional duration (ACD) model to estimate the intensity of the arrival and information content of trades by acco...