Prices and informed trading: Evidence from an early stock market

Arbeitspapier

Using a novel dataset where all traders are identifiable, we examine trading in the shares of a major company on the London Stock Exchange before 1920. Our main finding is that bid-ask spreads increased in the presence of informed trades. However, we also find that spreads narrowed during periods of informed trading when such trades were timed to periods of large uninformed volume and that professional traders consistently timed larger volume to such periods. We also find that spreads increased during the 1914 closure of the Stock Exchange. Our results provide support for the classical microstructure theories of informed trading.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: QUCEH Working Paper Series ; No. 2018-05

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Economic History: Financial Markets and Institutions: Europe: Pre-1913 ; Economic History: Financial Markets and Institutions: Europe: 1913-
• Thema: Informed Trading ; Uninformed Trading ; Liquidity ; Effective Spread ; Adverse Selection ; Stock Exchange Closure

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Acheson, Graeme G. ; Coyle, Christopher ; Turner, John D.
• Ereignis: Veröffentlichung
• (wer): Queen's University Centre for Economic History (QUCEH)
• (wo): Belfast
• (wann): 2018

Weitere Informationen

• Handle: http://hdl.handle.net/10419/177825
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ