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Measuring the Information Content of Stock Trades
Author(s) -
HASBROUCK JOEL
Publication year - 1991
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1991.tb03749.x
Subject(s) - autoregressive model , econometrics , economics , lag , stock (firearms) , monetary economics , stock price , sample (material) , financial economics , computer science , geography , series (stratigraphy) , computer network , paleontology , chemistry , archaeology , chromatography , biology
This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest: a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and, information asymmetries are more significant for smaller firms.