Information-Driven Trading at the Prague Stock Exchange: Evidence from Intra-Day Data

13 Pages Posted: 11 Dec 2002

See all articles by Jan Hanousek

Jan Hanousek

CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute); Charles University in Prague; Academy of Sciences of the Czech Republic; Centre for Economic Policy Research (CEPR)

Richard Podpiera

International Monetary Fund (IMF); Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute)

Abstract

Many observers argue that informed and insider trading is widespread in the emerging financial markets of transition countries, yet rigorous treatment of this issue has been virtually non-existent. The current paper estimates the extent of informed trading on the Prague Stock Exchange (PSE) using intra-day transaction data. Our estimates confirm that the average share of informed trading is equal to 0.32, which is high relative to developed markets and varies considerably among stocks. Using the Easley et al. (1996) approach on the very best segment of the PSE we obtained a high average probability of informed trading. Since data used in this study covers the period after the major attempts to improve market regulations, our results indicate that the PSE needs further strengthening to recover credibility and to become a real source of corporate financing.

JEL Classification: G14, G15

Suggested Citation

Hanousek, Jan and Podpiera, Richard, Information-Driven Trading at the Prague Stock Exchange: Evidence from Intra-Day Data. The Economics of Transition, Vol. 10, pp. 747-759, 2002. Available at SSRN: https://ssrn.com/abstract=342549

Jan Hanousek (Contact Author)

CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) ( email )

Politickych veznu 7
Prague 1, 111 21
Czech Republic
420 2 2400 5119 (Phone)
420 2 2421 1374 (Fax)

HOME PAGE: http://www.cerge-ei.cz

Charles University in Prague ( email )

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Praha 1, 116 36
Czech Republic

Academy of Sciences of the Czech Republic ( email )

Narodni 3, 111 42
Praha 1, 117 20
Czech Republic

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Richard Podpiera

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) ( email )

P.O. Box 882
7 Politickych veznu
Prague 1, 111 21
Czech Republic
+42 02 240 05 242 (Phone)
+42 02 242 27 143 (Fax)

HOME PAGE: http://www.cerge-ei.cz

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