期刊名称：AESTIMATIO : the IEB International Journal of Finance
印刷版ISSN：2173-0164
出版年度：2010
期号：1
页码：144-163
出版社：Instituto de Estudios Bursátiles
摘要：I provide a theoretical model for two empirical phenomena observed in the NYSE and Nasdaq markets. First is the bid-ask bounce recently studied by Heston, Korajczuk and Sadka (HKS, 2008) for high-frequency data. Second is a temporary liquidity squeeze ob- served by Madureira and Underwood (2008) in the event studies. The model I invoke to explain empirical observations of those two groups of authors, is based on Easley, Kiefer, O'Hara and Paperman (EKHP, 1996) equations for informed trading. The estimation was performed by maximizing correlations between MCMC-generated paths and empirical time series, which also maximizes the entropy. My modeling rejects the rational expectation paradigm on a short-to-medium (15 min. to 2 days) time scale. I conclude that, given statistical uncertainty, roughly half of the bid- ask spread can be attributed to the arrival of new economic information and the other half to microstructure friction.
关键词：Market microstructure; EMH (Efficient Market Hypothesis); Nasdaq ; High frequency finance; Autocorrelation of returns.
