Trading Mechanisms and Stock Returns: An Empirical Investigation

Amihud, Yakov; Mendelson, Haim

doi:10.1111/j.1540-6261.1987.tb04567.x

Cited by 544 publications

(168 citation statements)

References 36 publications

(69 reference statements)

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“…Market microstructure noise has many sources, including the discreteness of the price (see Harris, 1990Harris, , 1991, and properties of the trading mechanism, as in Black (1976) and Amihud and Mendelson (1987). For additional references to this literature, see O'Hara (1995), Madhavan (2000), Hasbrouck (2004), and Biais et al (2005).…”

Section: The Effects Of Microstructure Noisementioning

confidence: 99%

Realized Volatility: A Review

McAleer

Medeiros

2008

Econometric Reviews

439

205

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Section: The Effects Of Microstructure Noisementioning

confidence: 99%

Realized Volatility: A Review

McAleer

Medeiros

2008

Econometric Reviews

439

205

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“…As pointed out in the introduction, three different endogenous variables are considered: true asset 22 It has been well documented that overnight returns differ substantially from intraday returns Mendelson, 1987 andWhaley, 1990). Note: For the characteristics of relative spread, differences in time and accumulated volume, it is shown the percentage changes, averaged across all BTs, according to the following statistic:…”

Section: Methodology and Resultsmentioning

confidence: 99%

Information transmission around block trades on the Spanish stock exchange

Tapia

Yzaguirre²

2005

Applied Financial Economics

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This study investigates the informational effects of large transactions, or Block Trades (BT), in the Spanish Stock Exchange (SSE). In the open market period, this topic was not facilitated in the SSE as it was in other markets until 1998. The SSE thus provides a special environment for analysing the information transmission of these specific transactions.It is assumed that information can be better reflected by changes in true asset value, proxied by the midpoint of bid-ask best quotes. Therefore, we will look at changing true asset value orders instead of trades.Three different effects are studied around BTs: price, liquidity and information transmission. To capture them, three different endogenous variables are considered: true asset returns, relative spreads and adverse selection spread component. With this approach, no clear effects of BTs are found. The main result of the study is that there seems to be an increase in information asymmetries when one looks at the adverse selection spread component in some of the different subsample classifications (buyer, seller and sweeping BT), but there is no significant permanent effect on returns. This result could be related to insiders trading in the market. In sharp contrast with adverse selection evidence, a temporary decrease in bid/ask spread around BTs is also observed. These changes reflect temporary liquidity effects related to other spread components (order processing costs and inventory costs).

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“…This structure has not been typically taken into account by a variety of measures used in the past. For example, variance-ratio measures, allow positive covariances to offset negative covariances (see, for example, Amihud and Mendelson (1987) or Hasbrouck and Schwartz (1988)). Our measure also encompasses the information content of the zero-return measures (introduced in Lesmond, Ogden, and Trzcinka (1999) (LOT) and further refined by Bekaert, Harvey and Lundblatt (2007) to incorporate the length of non-trading interval).…”

Section: B Measurementmentioning

confidence: 99%

Global Liquidity, Risk Premiums and Growth Opportunities

Nicoló

Ivaschenko²

2009

IMF Working Papers

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and co-movements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries' growth opportunities. Three main results obtain. First, there is evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity indicators appear to be important determinants of bond spreads in advanced economies and EMBI spreads in emerging markets. Third, improvements in market liquidity have significant real effects, as liquidity indicators have a significant positive impact on proxy measures of countries' growth opportunities. Terms of use: Documents inJEL Code: F36, G15.

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Trading Mechanisms and Stock Returns: An Empirical Investigation

Cited by 544 publications

References 36 publications

Realized Volatility: A Review

Realized Volatility: A Review

Information transmission around block trades on the Spanish stock exchange

Global Liquidity, Risk Premiums and Growth Opportunities

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