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- W214072478 abstract "This chapter investigates the trading intensity on the Tunis Stock Exchange (TSE) and the impact of trading volume and liquidity on the presence of informed trading. We extend De Luca and Gallo’s (2009) model by introducing fixed and time-varying mixing weights in Weibull Log Autoregressive Conditional Duration (LACD) model. Our models are applied to two groups of stocks that are classified according to their trading intensity. We report that intensive trading is associated with high volatility, large trading volume, and narrow relative spread, only for the frequently traded stocks. The proportion of informed traders is found to be high for both frequently and infrequently traded stocks, supporting the hypothesis that information-based trades exist for all stocks. We find that informed trading is negatively related to liquidity and trading volume." @default.
- W214072478 created "2016-06-24" @default.
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- W214072478 date "2014-01-01" @default.
- W214072478 modified "2023-09-25" @default.
- W214072478 title "Trading Intensity and Informed Trading in the Tunis Stock Exchange" @default.
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- W214072478 doi "https://doi.org/10.1016/b978-0-12-411549-1.00009-0" @default.
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