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Informed trading, market efficiency and volatility

Informed trading, market efficiency and volatility
Informed trading, market efficiency and volatility
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
0165-1765
56-59
Sung, Ming-Chien
2114f823-bc7f-4306-a775-67aee413aa03
Johnson, Johnnie
6d9f1a51-38a8-4011-a792-bfc82040fac4
Mcdonald, David
fbe07af1-0891-4db7-858c-793633d98f3f
Sung, Ming-Chien
2114f823-bc7f-4306-a775-67aee413aa03
Johnson, Johnnie
6d9f1a51-38a8-4011-a792-bfc82040fac4
Mcdonald, David
fbe07af1-0891-4db7-858c-793633d98f3f

Sung, Ming-Chien, Johnson, Johnnie and Mcdonald, David (2016) Informed trading, market efficiency and volatility. Economics Letters, 149, 56-59. (doi:10.1016/j.econlet.2016.10.015).

Record type: Article

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

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volatility efficiency paper110816.docx - Accepted Manuscript
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Accepted/In Press date: 12 October 2016
e-pub ahead of print date: 18 October 2016
Published date: December 2016
Organisations: Centre of Excellence in Decision, Analytics & Risk Research

Identifiers

Local EPrints ID: 401433
URI: http://eprints.soton.ac.uk/id/eprint/401433
DOI: doi:10.1016/j.econlet.2016.10.015
ISSN: 0165-1765
PURE UUID: 68c3b805-b75d-4619-b4ec-76cbefcb6d58
ORCID for Ming-Chien Sung: ORCID iD orcid.org/0000-0002-2278-6185

Catalogue record

Date deposited: 17 Oct 2016 13:01
Last modified: 15 Mar 2024 05:58

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Contributors

Author: Ming-Chien Sung ORCID iD
Author: Johnnie Johnson
Author: David Mcdonald

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