Information-based trading, price impact of trades, and trade autocorrelation

Journal of Banking and Finance

Volumn 29, Issue 7, 2005, Pages 1645-1669

  Chung, Kee H ^a   Li, Mingsheng ^b   McInish, Thomas H ^c  

^a UNIVERSITY AT BUFFALO   (United States)

^b UNIVERSITY OF LOUISIANA AT MONROE   (United States)

^c UNIVERSITY OF MEMPHIS   (United States)

Author keywords

Asymmetric information; Price impact; Quote revisions; Trade autocorrelation

Indexed keywords

EID: 34247178737     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.08.001     Document Type: Article

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