BIROn - Birkbeck Institutional Research Online

    The price impact of economic news, private information and trading intensity

    Paiardini, Paola (2010) The price impact of economic news, private information and trading intensity. Working Paper. Birkbeck College, University of London, London, UK.

    [img]
    Preview
    Text
    7533.pdf - Published Version of Record

    Download (416kB) | Preview

    Abstract

    In this paper we use three years high-frequency data to investigate the role played by public and private information in the process of price formation in two secondary government bond markets. As public information we examine the impact of regularly scheduled macroeconomic news announcements. We identify those announcements with the greatest impact on these markets. As private information we estimate the price impact of order flow. In fact, according to the microstructure models, private information in this context is related to the subjective evaluation of information and order flow can reflect difference of opinions among market participants. Thus, market participant may infer information about the subjective beliefs of other market participants looking at the aggregate order flow. We then use a vector autoregressive model for prices and trades to empirically test the role played by intraday trading intensity and by the waiting time between consecutive transactions in the process of price formations.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 1011
    Keyword(s) / Subject(s): News Effects, Order Flow, High Frequency Data, Market Microstructure
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 20 Jun 2013 12:31
    Last Modified: 11 Oct 2016 12:01
    URI: http://eprints.bbk.ac.uk/id/eprint/7533

    Statistics

    Downloads
    Activity Overview
    120Downloads
    141Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item