Informationsbasierter Aktienhandel über IBIS

Joachim Grammig, Dirk Schiereck and Erik Theissen
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Joachim Grammig: Johann Wolfgang Goethe-Universität Frankfurt
Dirk Schiereck: Universität Witten/Herdecke
Erik Theissen: Groupe HEC

Schmalenbach Journal of Business Research, 2000, vol. 52, issue 7, 619-642

Abstract: Summary Based on a model by Easley/Kiefer/O’Hara/Paperman (1996) and a sample of IBIS-transactions of DAX stocks we have investigated the differential trader composition of the more actively and less frequently traded stocks. Our analysis reveals that the more actively traded stocks have a higher probability of information events, and a greater rate of informed and uninformed traders than do less frequently traded stocks. Furthermore, we present some new insight for the weekend effect with a significantly higher probability for negative information events on Mondays. Finally, we show that during periods of high return volatility a greater rate of informed and uninformed traders enter the market.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sjobre:v:52:y:2000:i:7:d:10.1007_bf03372631

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DOI: 10.1007/BF03372631

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