TY - JOUR
T1 - Information content of inter-transaction time
T2 - A structural approach
AU - Ryu, Doojin
N1 - Publisher Copyright:
© 2015 Vilnius Gediminas Technical University (VGTU) Press.
PY - 2015/7/4
Y1 - 2015/7/4
N2 - Abstract: This study examines the information role of inter-transaction time by employing a structural market microstructure model. By analyzing the intraday data of the KOSPI200 futures market, we find that the inter-transaction time (i.e., time between two consecu- tive trades) reveals significant information, and that fast trading is indicative of informed trading. This result remains robust when the effect of trade size is incorporated into the model. Our regression analysis indicates that the information role of inter-transaction time becomes more important when informed trading is less concentrated, liquidity is lower, and the market is more volatile.
AB - Abstract: This study examines the information role of inter-transaction time by employing a structural market microstructure model. By analyzing the intraday data of the KOSPI200 futures market, we find that the inter-transaction time (i.e., time between two consecu- tive trades) reveals significant information, and that fast trading is indicative of informed trading. This result remains robust when the effect of trade size is incorporated into the model. Our regression analysis indicates that the information role of inter-transaction time becomes more important when informed trading is less concentrated, liquidity is lower, and the market is more volatile.
KW - information content
KW - informed trading
KW - inter-transaction time
KW - KOSPI200 futures
KW - market microstructure
KW - structural model
UR - https://www.scopus.com/pages/publications/84941658268
U2 - 10.3846/16111699.2013.804873
DO - 10.3846/16111699.2013.804873
M3 - Article
AN - SCOPUS:84941658268
SN - 1611-1699
VL - 16
SP - 697
EP - 711
JO - Journal of Business Economics and Management
JF - Journal of Business Economics and Management
IS - 4
ER -