EconStor >
Cardiff University >
Cardiff Business School, Cardiff University >
Cardiff Economics Working Papers, Cardiff Business School, Cardiff University >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/65787
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorWong, Woon K.en_US
dc.contributor.authorCopeland, Laurenceen_US
dc.contributor.authorLu, Ralphen_US
dc.date.accessioned2010-02-24en_US
dc.date.accessioned2012-11-02T14:28:14Z-
dc.date.available2012-11-02T14:28:14Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/65787-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherCardiff University, Cardiff Business School Cardiffen_US
dc.relation.ispartofseriesCardiff Economics Working Papers E2008/12en_US
dc.subject.jelG14en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordliquidity tradeen_US
dc.subject.keywordinformed tradesen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwBörseen_US
dc.subject.stwUnvollkommene Informationen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwUSAen_US
dc.subject.stwNew York (NY)en_US
dc.titleThe other side of the trading story: Evidence from NYSEen_US
dc.typeWorking Paperen_US
dc.identifier.ppn574279415en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Cardiff Economics Working Papers, Cardiff Business School, Cardiff University

Files in This Item:
File Description SizeFormat
574279415.pdf186.28 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.