An Empirical Analysis of Strategic Behaviour Models

Carole Comerton-Forde, Michael A. O'Brien and Joakim Westerholm
Additional contact information
Carole Comerton-Forde: Discipline of Finance, Faculty of Economics and Business, University of Sydney, NSW 2006.
Michael A. O'Brien: UQ Business School, University of Queensland QLD 4072.

Australian Journal of Management, 2007, vol. 32, issue 2, 181-203

Abstract: Existing theoretical models indicate that intraday patterns on stock exchanges are caused by the strategic interaction of informed and liquidity traders. Using unique data from the Helsinki Stock Exchange, which allows individual trades to be attributed to informed and liquidity traders, this paper examines strategic behaviour and intraday patterns. We find that both informed and liquidity traders concentrate trading at the open and close. The results illustrate that a significant proportion of intraday patterns can be explained by strategic trading by informed and liquidity traders.

Keywords: INFORMED TRADIN; LIQUIDITY TRADING; STRATEGIC BEHAVIOUR; INTRADAY PATTERNS (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289620703200202 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:32:y:2007:i:2:p:181-203

DOI: 10.1177/031289620703200202

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications (sagediscovery@sagepub.com).