Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65796
Authors: 
Wong, Woon K.
Tan, Dijun
Tian, Yixiang
Year of Publication: 
2008
Series/Report no.: 
Cardiff Economics Working Papers E2008/8
Abstract: 
Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a nonlinear log-ACD model to stocks listed on Shanghai Stock Exchange. When trading volume is high, empirical findings suggest presence of informed trading in both liquid and illiquid stocks. When volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results support the price formation model of Foster and Viswanathan (Rev. Financial Studies (1990) 593).
Subjects: 
Informed trading
Liquidity trading
Duration
Volume
Volatility
JEL: 
G11
G14
G15
Document Type: 
Working Paper

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