Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/177825
Authors: 
Acheson, Graeme G.
Coyle, Christopher
Turner, John D.
Year of Publication: 
2018
Series/Report no.: 
QUCEH Working Paper Series 2018-05
Abstract: 
Using a novel dataset where all traders are identifiable, we examine trading in the shares of a major company on the London Stock Exchange before 1920. Our main finding is that bid-ask spreads increased in the presence of informed trades. However, we also find that spreads narrowed during periods of informed trading when such trades were timed to periods of large uninformed volume and that professional traders consistently timed larger volume to such periods. We also find that spreads increased during the 1914 closure of the Stock Exchange. Our results provide support for the classical microstructure theories of informed trading.
Subjects: 
Informed Trading
Uninformed Trading
Liquidity
Effective Spread
Adverse Selection
Stock Exchange Closure
JEL: 
G12
N23
N24
Document Type: 
Working Paper
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