Information content of inter-transaction time: A structural approach

14Citations
Citations of this article
11Readers
Mendeley users who have this article in their library.

Abstract

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.

Cite

CITATION STYLE

APA

Ryu, D. (2015). Information content of inter-transaction time: A structural approach. Journal of Business Economics and Management, 16(4), 697–711. https://doi.org/10.3846/16111699.2013.804873

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free