2002-10-01, English, Article, Journal or magazine article edition: Intraday trade in dealership markets. Bernhardt, Dan; Hughson, Eric

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Physical Description
  • Magazine/​Journal article
Published
  • Elsevier Science Publishers, 2002 Oct
Language
  • English

Edition details

Title
  • Intraday trade in dealership markets.
Appears In
  • European Economic Review, v.46, no.9, 2002 Oct, p.1697(36) (ISSN: 0014-2921)
Author
  • Bernhardt, Dan
  • Hughson, Eric
Published
  • Elsevier Science Publishers, 2002 Oct
Physical Description
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
  • Trade
Summary
  • We develop and test a structural asymmetric information transaction model to characterize the price impact of information when markets are thin. Since orders are accepted individually, the model allows for transaction costs and brokerage fees. Equilibrium demands mixed entry strategies on the part of potentially informed traders. Estimation of the structural parameters is performed using a maximum likelihood procedure on NYSE data. The structural model is rejected primarily because the nonlinear restrictions do not allow for sufficient correlation between price movements and pricing errors. This leads to unreasonably low estimates of the probability of informed trade relative to an unrestricted alternative. The price impact of information is found to be positive and significant, but economically small. This is because although the amount of private information is substantial, the quality of the information signals is poor, particularly in the middle of the trading day. Informed agents do not trade small quantities, which suggests that their ability to divide orders is limited by transaction costs. JEL classification: C5; G0 Keywords: Market microstructure; Structural estimation
Terms of Use
  • COPYRIGHT 2002 Elsevier Science Publishers
Language
  • English
Database
  • Gale Academic OneFile
  • Gale Expanded Academic
  • Gale General OneFile
Identifier
  • 94012126

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Charles Sturt University. CSU Library - Electronic Resources (shared). Open to the public 001665865; Full Text Available; Elsevier SD Backfile Agricultural - Available from 1969 until 1994 Periodical; Journal, magazine, other English
CSIRO. Library Services. Not open to the public 999695590001981; Elsevier SD Freedom Collection. Online Access. Available for document delivery. Restrictions apply.; Available from 1995; Elsevier SD Backfile Agricultural. Online Access. Available for document delivery. Restrictions apply.; Available from 1969 volume: 1 issue: 1 until 1994 volume: 38 issue: 9; Elsevier SD Backfile Economics. Online Access. Available for document delivery. Restrictions apply.; Available from 1969 volume: 1 issue: 1 until 1994 volume: 38 issue: 9; Elsevier SD Backfile Agriculture Supplement. Online Access. Available for document delivery. Restrictions apply.; Available from 1969 volume: 1 issue: 1 until 1994 volume: 38 issue: 9 Periodical; Journal, magazine, other English
Deakin University. Deakin University Library. Open to the public 22P15988; GLG v.1(1969)-36:8(1992)imp Periodical; Journal, magazine, other English
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Macquarie University. Macquarie University Library. Open to the public 993253110802171; HB1 .E94 Periodical; Journal, magazine, other English
Monash University. Monash University Library. Open to the public 99424401751; 330.5 E89; v. 1, no. 1 (fall 1969) to v. 44, no. 10 (Dec. 2000); OS; YOS-SER Periodical; Journal, magazine, other English
National Library of Australia. Open to the public 2279275; S 330.9405 EUR; Vol. 1, no. 1-v. 39, no. 7; v. 39, no. 9 (Fall 1969-Aug. 1995; Dec. 1995) Periodical; Journal, magazine, other English
NSW Department of Industry. DTIRIS: Electronic Resources Library. Not open to the public V 1 1969 - V 38 1994 (Libraries: No ILL) Periodical; Journal, magazine, other English
Productivity Commission. Melbourne Office Library. May not be open to the public JOURNAL; vol.1, no. 1-vol.39, no. 9; 1969-1995 Periodical; Journal, magazine, other English
State Library Victoria. Open to the public S 338.905 Eu7; S 338.905 EU7; v.1 no.1-v.6 no.1; Fall 1969-Jan. 1975 Periodical; Journal, magazine, other English
The University of Melbourne. The University of Melbourne Library. Open to the public Ba P 330.05 EURO; v. 4-v.44; 1973-2000, Online access. Available for document delivery - restrictions apply., .b25226435; Ba MIC/o 6334; v. 1, no. 1-v. 8, no. 4; 1969-1976. Periodical; Journal, magazine, other; Microform English
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Department of Agriculture and Water Resources. Department of Agriculture and Water Resources Library. May not be open to the public Online access only Periodical; Journal, magazine, other English
National Library of Australia. Open to the public 2279275; S 330.9405 EUR; Vol. 1, no. 1-v. 39, no. 7; v. 39, no. 9 (Fall 1969-Aug. 1995; Dec. 1995) Periodical; Journal, magazine, other English
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Charles Sturt University. CSU Library - Electronic Resources (shared). Open to the public 001665865; Full Text Available; Elsevier SD Backfile Agricultural - Available from 1969 until 1994 Periodical; Journal, magazine, other English
Macquarie University. Macquarie University Library. Open to the public 993253110802171; HB1 .E94 Periodical; Journal, magazine, other English
NSW Department of Industry. DTIRIS: Electronic Resources Library. Not open to the public V 1 1969 - V 38 1994 (Libraries: No ILL) Periodical; Journal, magazine, other English
The University of Sydney. University of Sydney Library. Open to the public Periodical; Journal, magazine, other English
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Bond University. John and Alison Kearney Library . Open to the public 990000002760402381; HB1 .E973; Vol. 32, no. 1 (Jan.1988)-v. 45, no.10 (Dec. 2001) Periodical; Journal, magazine, other English
University of Queensland. University of Queensland Library. Open to the public .b10046938; sshp HB1 .E94 : 1(1969)-45(2001); Online access via ScienceDirect : v.1- (1969)-. Available for document delivery - restrictions apply Microform; Periodical; Journal, magazine, other English
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CSIRO. Library Services. Not open to the public 999695590001981; Elsevier SD Freedom Collection. Online Access. Available for document delivery. Restrictions apply.; Available from 1995; Elsevier SD Backfile Agricultural. Online Access. Available for document delivery. Restrictions apply.; Available from 1969 volume: 1 issue: 1 until 1994 volume: 38 issue: 9; Elsevier SD Backfile Economics. Online Access. Available for document delivery. Restrictions apply.; Available from 1969 volume: 1 issue: 1 until 1994 volume: 38 issue: 9; Elsevier SD Backfile Agriculture Supplement. Online Access. Available for document delivery. Restrictions apply.; Available from 1969 volume: 1 issue: 1 until 1994 volume: 38 issue: 9 Periodical; Journal, magazine, other English
Deakin University. Deakin University Library. Open to the public 22P15988; GLG v.1(1969)-36:8(1992)imp Periodical; Journal, magazine, other English
Monash University. Monash University Library. Open to the public 99424401751; 330.5 E89; v. 1, no. 1 (fall 1969) to v. 44, no. 10 (Dec. 2000); OS; YOS-SER Periodical; Journal, magazine, other English
Productivity Commission. Melbourne Office Library. May not be open to the public JOURNAL; vol.1, no. 1-vol.39, no. 9; 1969-1995 Periodical; Journal, magazine, other English
State Library Victoria. Open to the public S 338.905 Eu7; S 338.905 EU7; v.1 no.1-v.6 no.1; Fall 1969-Jan. 1975 Periodical; Journal, magazine, other English
The University of Melbourne. The University of Melbourne Library. Open to the public Ba P 330.05 EURO; v. 4-v.44; 1973-2000, Online access. Available for document delivery - restrictions apply., .b25226435; Ba MIC/o 6334; v. 1, no. 1-v. 8, no. 4; 1969-1976. Periodical; Journal, magazine, other; Microform English
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