Abstract

http://ssrn.com/abstract=683907
 
 

References (42)



 
 

Citations (3)



 


 



Inter-Temporal Trade Clustering and Two-Sided Markets: Insights Into Trading Motives


Asani Sarkar


Federal Reserve Bank of New York

Robert A. Schwartz


Baruch College - CUNY

January 2006

AFA 2006 Boston Meetings Paper

Abstract:     
We show that equity trades are typically two-sided and cluster together in certain time intervals for both NYSE and Nasdaq stocks under a broad range of conditions - news and non-news days, different times of the day and trade sizes. By two-sided we mean that the arrivals of buyer-initiated and seller-initiated trades are correlated; by clustering we mean that trades tend to bunch together in certain intervals with greater frequency than would be expected if their arrivals were random. Controlling for order imbalance, number of trades, news, and other microstructure effects, we find that two-sided clustering is associated with higher volatility but lower trading costs. Our analysis has implications for trader behavior, market structure, and the process by which new information is incorporated into market prices.

Number of Pages in PDF File: 57

Keywords: Two-sided markets, trade clustering, trading costs, volatility, stocks

JEL Classification: G10, G14

working papers series


Download This Paper

Date posted: March 16, 2005  

Suggested Citation

Sarkar, Asani and Schwartz, Robert A., Inter-Temporal Trade Clustering and Two-Sided Markets: Insights Into Trading Motives (January 2006). AFA 2006 Boston Meetings Paper. Available at SSRN: http://ssrn.com/abstract=683907 or http://dx.doi.org/10.2139/ssrn.683907

Contact Information

Asani Sarkar (Contact Author)
Federal Reserve Bank of New York ( email )
Research Department
33 Liberty Street
New York, NY 10045
United States
212-720-8943 (Phone)
212-720-1582 (Fax)
HOME PAGE: http://www.newyorkfed.org/research/economists/sarkar/pub.html
Robert A. Schwartz
Baruch College - CUNY ( email )
Zicklin School of Business
17 Lexington Avenue
New York, NY 10010
United States
646-312-3467 (Phone)
646-312-3530 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 1,340
Downloads: 87
References:  42
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.266 seconds