Abstract

http://ssrn.com/abstract=902358
 
 

References (44)



 
 

Citations (3)



 


 



Two-Sided Markets and Intertemporal Trade Clustering: Insights into Trading Motives


Robert A. Schwartz


Baruch College - CUNY

Asani Sarkar


Federal Reserve Bank of New York

April 2006

FRB of New York Staff Report No. 246

Abstract:     
We show that equity markets are typically two-sided and that trades cluster in certain trading intervals for both NYSE and Nasdaq stocks under a broad range of conditions - news and non-news days, different times of the day, and a spectrum of trade sizes. By "two-sided" we mean that the arrivals of buyer-initiated and seller-initiated trades are positively correlated; by "trade clustering" we mean that trades tend to bunch together in time with greater frequency than would be expected if their arrival were a random process. 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 trading motives, market structure, and the process by which new information is incorporated into market prices.

Number of Pages in PDF File: 56

Keywords: two-sided markets, trade clustering, trading motives, equity markets, volatility, trading costs

JEL Classification: G10, G14

working papers series


Download This Paper

Date posted: May 15, 2006  

Suggested Citation

Schwartz, Robert A. and Sarkar, Asani, Two-Sided Markets and Intertemporal Trade Clustering: Insights into Trading Motives (April 2006). FRB of New York Staff Report No. 246. Available at SSRN: http://ssrn.com/abstract=902358 or http://dx.doi.org/10.2139/ssrn.902358

Contact Information

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)
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
Feedback to SSRN


Paper statistics
Abstract Views: 947
Downloads: 160
Download Rank: 107,086
References:  44
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 apollo3 in 0.390 seconds