scholarly journals Measuring Probability of Informed Trading in Tehran Stock Exchange

2017 ◽  
Vol 8 (29) ◽  
pp. 73-98
Author(s):  
Moloud Rahmaniani ◽  
Reza Taleblo ◽  
◽  
Keyword(s):  
Stock Exchange ◽  
Informed Trading ◽  
Probability Of Informed Trading

A dynamic intraday measure of the probability of informed trading and firm-specific return variation

2014 ◽  
Vol 29 ◽  
pp. 80-94 ◽  
Author(s):  
Sanders S. Chang ◽  
Lenisa V. Chang ◽  
F. Albert Wang
Keyword(s):  
Informed Trading ◽  
Probability Of Informed Trading

News at the Bell and a Level Playing Field

2022 ◽  
Author(s):  
Danqi Hu ◽  
Andrew Stephan
Keyword(s):  
Stock Exchange ◽  
Institutional Ownership ◽  
Informed Trading ◽  
Stock Exchanges ◽  
Level Playing Field ◽  
Playing Field ◽  
Earnings Releases ◽  
Do So

We provide initial evidence that stock exchange procedures around closing auctions advantage speed traders at the expense of auction participants. We show that, on Nasdaq and NYSE Arca, 4:00 pm earnings releases result in informed trading in the continuous regular-hour session in the short window between 4:00 pm and the closing auction; this trading subsequently moves closing prices in the direction of the earnings news. The ability of speed traders to submit 4:00 pm-news orders to the auction through the continuous session earns them up to 1.5% profit and creates an unlevel playing field because most auction participants are not allowed to cancel their orders. When stock exchanges recommended that firms delay disclosures until after the market close, those with higher institutional ownership were more likely to do so voluntarily. Our study has implications regarding the timing of information releases and the design of the closing process.

scholarly journals Informed Trading of Futures Markets During the Financial Crisis: Evidence from the VPIN

2017 ◽  
Vol 9 (9) ◽  
pp. 123 ◽  
Author(s):  
Yen-Hsien Lee ◽  
Wen-Chien Liu ◽  
Chia-Lin Hsieh
Keyword(s):  
Financial Crisis ◽  
Institutional Investors ◽  
Special Kind ◽  
Informed Trading ◽  
Individual Level ◽  
Day Of The Week ◽  
Foreign Institutional Investors ◽  
The Individual ◽  
Probability Of Informed Trading ◽  
The Impact

This paper examines the impact of informed trading on futures returns during the 2008-2009 financial crisis. To precisely capture the informed trading in the highly volatile market during this period, we adopt the Volume-Synchronized Probability of Informed Trading (VPIN) of Easley, Hvidkjaer and O’Hara (2012) as our main measurement for informed trading. Besides, we also use a unique transaction dataset with investor identity to classify investors into domestic and foreign institutional investors, which the foreign institutional investors are supposed to be characterized by a higher degree of informed trading. Our empirical results show that the VPIN of foreign institutional investors has indeed significantly positive impacts on futures returns at the individual level. By contrast, the effect of the VPIN of domestic institutional investors on futures returns is only significant on Wednesdays, which could be seen as a special kind of day-of-the-week effect.

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