{"title":"信息化交易与价格改善","authors":"K. Lee, Kee H. Chung","doi":"10.1111/j.1468-5957.2009.02142.x","DOIUrl":null,"url":null,"abstract":"In this study we test the information hypothesis of price improvement. Our results show that price improvement is negatively related to both the probability of information-based trading and the price impact of trades. We interpret these results as evidence that liquidity providers selectively offer price improvements according to the information content of trades. We also show that liquidity providers offer greater (and more frequent) price improvements when they are at the NBBO, and for stocks with wider spreads, fewer trades, or smaller trade sizes relative to the quoted depth. Buyer-initiated trades receive smaller (larger) price improvements than seller-initiated trades on the NYSE (NASDAQ).","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"60 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2009-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Information-Based Trading and Price Improvement\",\"authors\":\"K. Lee, Kee H. Chung\",\"doi\":\"10.1111/j.1468-5957.2009.02142.x\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this study we test the information hypothesis of price improvement. Our results show that price improvement is negatively related to both the probability of information-based trading and the price impact of trades. We interpret these results as evidence that liquidity providers selectively offer price improvements according to the information content of trades. We also show that liquidity providers offer greater (and more frequent) price improvements when they are at the NBBO, and for stocks with wider spreads, fewer trades, or smaller trade sizes relative to the quoted depth. Buyer-initiated trades receive smaller (larger) price improvements than seller-initiated trades on the NYSE (NASDAQ).\",\"PeriodicalId\":23644,\"journal\":{\"name\":\"Wiley-Blackwell: Journal of Business Finance & Accounting\",\"volume\":\"60 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-02-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Wiley-Blackwell: Journal of Business Finance & Accounting\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/j.1468-5957.2009.02142.x\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley-Blackwell: Journal of Business Finance & Accounting","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/j.1468-5957.2009.02142.x","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
In this study we test the information hypothesis of price improvement. Our results show that price improvement is negatively related to both the probability of information-based trading and the price impact of trades. We interpret these results as evidence that liquidity providers selectively offer price improvements according to the information content of trades. We also show that liquidity providers offer greater (and more frequent) price improvements when they are at the NBBO, and for stocks with wider spreads, fewer trades, or smaller trade sizes relative to the quoted depth. Buyer-initiated trades receive smaller (larger) price improvements than seller-initiated trades on the NYSE (NASDAQ).
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