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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2015
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| 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 |