Publication Type
Conference Proceeding Article
Version
acceptedVersion
Publication Date
12-2015
Abstract
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 their framework. In this paper, we present a nesting relationship of major structural models and formulate a generalized model that includes all relevant trade variables. A new measure to quantify the amount of information in the order flow is proposed. Using this price impact measure, our empirical analysis shows that it is indeed the “surprise” in trade size that contributes significantly in reflecting the price change of Nikkei and TOPIX futures.
Discipline
Finance and Financial Management
Research Areas
Quantitative Finance
Publication
SFM 2015: Conference on the Theories and Practices of Securities and Financial Markets, December 11-12
First Page
1
Last Page
40
Publisher
SFM
City or Country
Kaohsiung, Taiwan
Citation
TEE, Chyng Wen and TING, Christopher.
Volume information in Nikkei and TOPIX futures transactions. (2015). SFM 2015: Conference on the Theories and Practices of Securities and Financial Markets, December 11-12. 1-40.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4866
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://sfm.finance.nsysu.edu.tw/php/Papers/CompletePaper/110-1718525027.pdf