Format:
1 Online-Ressource (54 p)
Series Statement:
Yale ICF Working Paper No. 03-18
Content:
This paper proposes a dynamic multi-security model in which liquidity reflects stochastic variation, persistence, and commonality of underlying information variance. Illiquidity, price-change variance, and trading volume all increase in the size of information. Using high frequency data, I perform structural estimation of the model by Bayesian Markov-Chain Monte-Carlo simulation, with the conditional volatility of underlying information modeled as stochastic volatility or realized volatility controlling for microstructure noise. I find that a Dow stock's liquidity decreases in the size of information about not only itself but also about other Dow stocks, demonstrating a significant cross-sectional effect of information on liquidity
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 21, 2014 erstellt
Language:
Undetermined
