When is inter-transaction time informative?

Craig Furfine*

*Corresponding author for this work

Research output: Contribution to journalArticle

11 Scopus citations

Abstract

This paper estimates the role of inter-transaction time in price discovery for 100 NYSE-listed firms between 1993 and 2003. We find faster arriving trades move prices more than slower arriving trades across stocks and across time. We further document that the information content of inter-transaction time varies with trading activity, and is weakest for the most actively traded stocks. We then distinguish trades in the same direction as the previous trade from trades in the reverse direction. Our empirical findings document that inter-transaction time is informative for both types of trades, but in opposite directions. Faster arriving trades in the same direction are more informative, whereas faster arriving trades in opposite directions are less informative.

Original languageEnglish (US)
Pages (from-to)310-332
Number of pages23
JournalJournal of Empirical Finance
Volume14
Issue number3
DOIs
StatePublished - Jun 1 2007

Keywords

  • G12
  • G14
  • Information content
  • Inter-transaction time
  • Market microstructure
  • Price impact

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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