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Applied Economics Letters Volume 25, 2018 - Issue 14
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Articles

Dynamic probability of informed trading and price movements: evidence from the CSI300 index futures market

Yan YanSchool of Economics, Huazhong University of Science and Technology, Wuhan, Hubei, ChinaCorrespondence[email protected]
&
Ouyang HongbingSchool of Economics, Huazhong University of Science and Technology, Wuhan, Hubei, China
Pages 998-1003 | Published online: 30 Oct 2017

References

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  • Chang, S. S., L. V. Chang, and F. A. Wang. 2014. ““A Dynamic Intraday Measure of the Probability of Informed Trading and Firm-Specific Return Variation”.” Journal of Empirical Finance 29: 80–94. doi:10.1016/j.jempfin.2014.02.003.
  • Chordia, T., and A. Subrahmanyam. 2004. ““Order Imbalance and Individual Stock Returns: Theory and Evidence”.” Journal of Financial Economics 72 (3): 485–518. doi:10.1016/S0304-405X(03)00175-2.
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  • Lee Charles, M. C., and M. J. Ready. 1991. “Inferring Trade Direction from Intraday Data.” Journal of Finance 3 (2): 83–111.
  • Pei-Shih, W., M. H. Wu, M. L. Chen, and W. C. Tsai. 2017. “An Empirical Analysis of the Dynamic Probability of Institutional Informed Trading: Evidence from the Taiwan Futures Exchange.” The Journal of Futures Markets 37 (9): 865–891. doi:10.1002/fut.21830.
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