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Informationsbasierter Aktienhandel über IBIS

2000; Springer Science+Business Media; Volume: 52; Issue: 7 Linguagem: Inglês

10.1007/bf03372631

2366-6153

Joachim Grammig, Dirk Schiereck, Erik Theissen,

Corporate Finance and Governance

Based on a model by Easley/Kiefer/O’Hara/Paperman (1996) and a sample of IBIS-transactions of DAX stocks we have investigated the differential trader composition of the more actively and less frequently traded stocks. Our analysis reveals that the more actively traded stocks have a higher probability of information events, and a greater rate of informed and uninformed traders than do less frequently traded stocks. Furthermore, we present some new insight for the weekend effect with a significantly higher probability for negative information events on Mondays. Finally, we show that during periods of high return volatility a greater rate of informed and uninformed traders enter the market.