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Spread and depth adjustment process an analysis of high-quality microstructure data

By: Material type: TextTextSeries: Applied Economics Letters ; Volume , number ,New York Taylor & Francis 2013Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
Subject(s): Online resources: Summary: This study examines liquidity dynamics by observing changes in bid-ask spreads and market depths in response to new information and trading activities. By analysing high-quality data from the KOSPI200 futures market, we determine that spread and depth effectively adjust to new information and trading activities. Our empirical results indicate that the size of the equilibrium spread is positively related to trade frequency, the degree of informed trading, volatility and the relative portions of individual trades, and negatively related to trade size. We also find that equilibrium depth is positively associated with the trade frequency and volatility, and negatively associated with the informed trading.
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Item type Current library Call number Vol info Status Notes Date due Barcode
Journal Article Journal Article Main Library Journal Article HB1.A666 APP (Browse shelf(Opens below)) Vol.20 , No.16 - 18 (Dec 2013) Not for loan For In House Use Only

This study examines liquidity dynamics by observing changes in bid-ask spreads and market depths in response to new information and trading activities. By analysing high-quality data from the KOSPI200 futures market, we determine that spread and depth effectively adjust to new information and trading activities. Our empirical results indicate that the size of the equilibrium spread is positively related to trade frequency, the degree of informed trading, volatility and the relative portions of individual trades, and negatively related to trade size. We also find that equilibrium depth is positively associated with the trade frequency and volatility, and negatively associated with the informed trading.

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