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. However, two prominent structural models in the literature do not include trade size in their framework. In this paper, we present a nesting relationship of major structura...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5477 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6476/viewcontent/Volume_information_in_Nikkei_and_TOPIX_futures_transactions_2015_pp.pdf |
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| Institution: | Singapore Management University |
| Language: | English |