| |
 |
|
| |
|
|
Modelos de estimación de la probabilidad de negociación informada: una comparación metodológica en el mercado español
David Abad and Antonio Rubia |
|
Determining the degree of informational asymmetry is a major topic in the literature of modern microstructure. In this paper, we review and analyze the suitability of the models for estimating the probability of informed trading [Easley et al., 1996; Nyholm, 2002, 2003]. The empirical analysis is carried out on the Spanish market. We find evidence suggesting that the regime-switching model by Nyhom (2002, 2003) does not provide estimates consistent with the effects of asymmetry. The specific analysis on the Spanish market reveals a higher likelihood of the informed trading for the less-frequently traded assets as a consequence of the dramatic fall in the number of liquidity traders. This issue suggests a strong degree of aversion to the risk of adverse selection.
|
|
| Copyright
1998 - 2012 - Asociación Española de Finanzas (AEFIN).
Todos los derechos reservados
e-mail: aefin@aefin.es
y secretaria@aefin.es
c/ Rosario Pino, 8, 10º-A
28020 Madrid
Tlf. y fax:
+34 91 3691483 |
|
