Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity

In this paper, we study the information contents of imbalances in trades and quotes emanated from an exchange resembling the one envisioned by Black (1971). We find dollar volume is more informative than number in measuring daily trading and quoting activities. Our measure of quote imbalance permits...

Full description

Saved in:
Bibliographic Details
Main Author: Ting, Hian Ann, Christopher
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2339
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3338/viewcontent/2304paper_camp.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.lkcsb_research-3338
record_format dspace
spelling sg-smu-ink.lkcsb_research-33382018-07-09T07:50:36Z Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity Ting, Hian Ann, Christopher In this paper, we study the information contents of imbalances in trades and quotes emanated from an exchange resembling the one envisioned by Black (1971). We find dollar volume is more informative than number in measuring daily trading and quoting activities. Our measure of quote imbalance permits an investigation on the information asymmetry between market and limit orders. In case illegal insider trading does not occur regularly, we present a hypothesis of reverse liquidity as an alternative interpretation for our empirical findings. It could be that market-order traders charge an implicit liquidity premium for fulfilling the contrarian trading demand of limit-order traders. We suspect proprietary traders are filling the vacuum created by the absence of designated market makers and they provide reverse liquidity through their active trading. 2004-09-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/2339 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3338/viewcontent/2304paper_camp.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Finance and Financial Management
Portfolio and Security Analysis
spellingShingle Finance and Financial Management
Portfolio and Security Analysis
Ting, Hian Ann, Christopher
Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity
description In this paper, we study the information contents of imbalances in trades and quotes emanated from an exchange resembling the one envisioned by Black (1971). We find dollar volume is more informative than number in measuring daily trading and quoting activities. Our measure of quote imbalance permits an investigation on the information asymmetry between market and limit orders. In case illegal insider trading does not occur regularly, we present a hypothesis of reverse liquidity as an alternative interpretation for our empirical findings. It could be that market-order traders charge an implicit liquidity premium for fulfilling the contrarian trading demand of limit-order traders. We suspect proprietary traders are filling the vacuum created by the absence of designated market makers and they provide reverse liquidity through their active trading.
format text
author Ting, Hian Ann, Christopher
author_facet Ting, Hian Ann, Christopher
author_sort Ting, Hian Ann, Christopher
title Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity
title_short Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity
title_full Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity
title_fullStr Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity
title_full_unstemmed Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity
title_sort information contents of trade and quote imbalances, and the hypothesis of reverse liquidity
publisher Institutional Knowledge at Singapore Management University
publishDate 2004
url https://ink.library.smu.edu.sg/lkcsb_research/2339
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3338/viewcontent/2304paper_camp.pdf
_version_ 1770570215085572096