Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity: Evidence from a Fully Automated Exchange
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...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2004
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research_smu/15 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1014&context=lkcsb_research_smu |
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| Institution: | Singapore Management University |
| Language: | English |