EconPapers    
Economics at your fingertips  
 

Source of Information-Driven Trading on the Prague Stock Exchange

Frantisek Kopriva

CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague

Abstract: We focus on the extent of information-driven trading sourced from the behavior of market makers on an emerging market. We develop a methodology based on the Easley et al. (1996) model in order to estimate the extent of informed trading originating from the behavior of Czech market makers on the Prague Stock Exchange (PSE). Based on the high percentage of block trades in the years 2003-05, the market makers focusing on large customers may have a significant source of private information on the PSE. Significant differences in the behavior of market makers lead us to conclude that these differences remarkably affect the extent of information-driven trading. Under current regulation, market makers are able to protect their private information and not reveal it for a surprisingly long period of time. Our study contributes to the detection mechanisms of regulatory authorities on the emerging markets in identifying the suspicious behavior of particular market participants.

Keywords: Trading systems; Informed trading; Emerging markets (search for similar items in EconPapers)
JEL-codes: G14 G15 P34 (search for similar items in EconPapers)
Date: 2008-09
New Economics Papers: this item is included in nep-cta, nep-mst and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.cerge-ei.cz/pdf/wp/Wp365.pdf (application/pdf)

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:cer:papers:wp365

Access Statistics for this paper

More papers in CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Vasiljevova ().

 
Page updated 2022-01-24
Handle: RePEc:cer:papers:wp365