Testing for Private Information Using Trade Duration Models with Unobserved Market Heterogeneity: The Case of Banco Popular

Research Institute of Applied Economics Working Paper 2019/07

23 Pages Posted: 9 May 2019

See all articles by Jorge Pérez Rodríguez

Jorge Pérez Rodríguez

University of Las Palmas de Gran Canaria - Faculty of Economic Science

Emilio Gómez-Déniz

Universidad de Las Palmas de Gran Canaria

Simon Sosvilla-Rivero

UCM Institute for Economic Analysis

Date Written: April 24, 2019

Abstract

In this paper, we attempt to assess the potential importance of different types of traders (i.e., those with public and private information) in financial markets using a specification of the standardized duration. This approach allows us to test unobserved heterogeneity in a nonlinear version based on a self-exciting threshold autoregressive conditional duration model. We illustrate the relevance of this procedure for identifying the presence of private information in the final days of trading of Banco Popular, the first bank rescued by the European Single Resolution Board.

Keywords: conditional duration, threshold models, finite and infinite mixtures, private information, bank failure

JEL Classification: C22, C41, D53, D82, G10, G12, G14

Suggested Citation

Pérez Rodríguez, Jorge and Gómez-Déniz, Emilio and Sosvilla-Rivero, Simon, Testing for Private Information Using Trade Duration Models with Unobserved Market Heterogeneity: The Case of Banco Popular (April 24, 2019). Research Institute of Applied Economics Working Paper 2019/07. Available at SSRN: https://ssrn.com/abstract=3377446 or http://dx.doi.org/10.2139/ssrn.3377446

Jorge Pérez Rodríguez

University of Las Palmas de Gran Canaria - Faculty of Economic Science ( email )

Dpto. de Metodos Cuantitativo Campus de Tafira, Tafira Baja
E-35017 Las Palmas
Spain
+34 928 458222 (Phone)
+34 928-458225 / 1829 (Fax)

HOME PAGE: http://fcee.ulpgc.es/~jorge/

Emilio Gómez-Déniz

Universidad de Las Palmas de Gran Canaria ( email )

Las Palmas de Gran Canaria, Las Palmas 35017
Spain

Simon Sosvilla-Rivero (Contact Author)

UCM Institute for Economic Analysis ( email )

Carretera de Humera s/n
Madrid, Madrid 28223
Spain
+34913932626 (Phone)

HOME PAGE: http://www.ucm.es/info/ecocuan/ssr/

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