Informed trading, market efficiency and volatility

Ming-Chien Sung, Johnnie E.V. Johnson and David C.J. McDonald

Economics Letters, 2016, vol. 149, issue C, 56-59

Abstract: We establish relationships that have proved difficult to capture in financial markets, between informed trading, efficiency and volatility. We examine the efficiency and volatility of market prices in 6058 parallel horserace betting exchange and bookmaker markets (1.8 million price points). We find that informed trading is associated with increased efficiency and volatility.

Keywords: Informed trading; Efficiency; Volatility (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:149:y:2016:i:c:p:56-59

DOI: 10.1016/j.econlet.2016.10.015

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