|
EconStor >
Cardiff University >
Cardiff Business School, Cardiff University >
Cardiff Economics Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/65787
|
| | |
| Title: | | The other side of the trading story: Evidence from NYSE  |
| Authors: | | Wong, Woon K. Copeland, Laurence Lu, Ralph |
| Issue Date: | | 2008 |
| Series/Report no.: | | Cardiff Economics Working Papers E2008/12 |
| Abstract: | | We analyse the well-known TORQ dataset of trades on the NYSE over a 3-month period, breaking down transactions depending on whether the active or passive side was institutional or private. This allows us to compare the returns on the different trade categories. We find that, however we analyse the results, institutions are best informed, and earn highest returns when trading with individuals as counterparty. We also confirm the conclusions found elsewhere in the literature that informed traders often place limit orders, especially towards the end of the day (as predicted on the basis of laboratory experiments in Bloomfield, O'Hara, and Saar (2005)). Finally, we find that trading between institutions accounts for the bulk of trading volume, but carries little information and seems to be largely liquidity-driven. |
| Subjects: | | liquidity trade informed trades |
| JEL: | | G14 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Cardiff Economics Working Papers
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/65787
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|