Market sidedness: Insights into motives for trade initiation

Arbeitspapier

In this paper, we infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the correlation between the numbers of buyerand seller-initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is more one-sided prior to merger news. Consistent with belief heterogeneity, trading is more two-sided (1) before earnings and macro announcements with greater dispersions of analyst forecasts and (2) after earnings and macro news events with larger announcement surprises. A simultaneous equation system is used to examine the co-determinacy of sidedness, the bid-ask spread, volatility, the number of trades, and the order imbalance.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Staff Report ; No. 292

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Information and Market Efficiency; Event Studies; Insider Trading ; Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance
• Subject: sidedness, divergent beliefs, trade initiation, trading motives, earnings news, macro news ; Ankündigungseffekt ; Wertpapierhandel ; Aktienmarkt ; Marktmechanismus ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Sarkar, Asani ; Schwartz, Robert A.
• Event: Veröffentlichung
• (who): Federal Reserve Bank of New York
• (where): New York, NY
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/60521
• Last update: 10.03.2025, 11:43 AM CET