Volume information in Nikkei and TOPIX futures transactions

According to the Kyle (1985) model of informed trading, information in trade size is likely to effect a permanent price impact, as opposed to bid-ask bounce, which mainly captures transitory price fluctuation. However, two prominent structural models in the literature do not include trade size in th...

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Bibliographic Details
Main Authors: TEE, Chyng Wen, TING, Christopher
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4866
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5865/viewcontent/110_1718525027.pdf
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Institution: Singapore Management University
Language: English