Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows

Article English OPEN
Darolles , Serge; Le Fol , Gaëlle; Mero , Gulten;
(2017)
  • Publisher: Elsevier
  • Related identifiers: doi: 10.1016/j.jeconom.2017.08.014
  • Subject: C52 | Strategic liquidity trading | JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C52 - Model Evaluation, Validation, and Selection | G12 | G14 | JEL : C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C51 - Model Construction and Estimation | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates | extended Kalman Filter | JEL : C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C52 - Model Evaluation, Validation, and Selection | [SHS.GESTION]Humanities and Social Sciences/Business administration | JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates | mixture of distributionhypothesis | JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C51 - Model Construction and Estimation | [ SHS.GESTION ] Humanities and Social Sciences/Business administration | information-based trading | JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading | C51 | market efficiency

International audience; The mixture of distribution hypothesis (MDH) model offers an appealing explanation for the positive relation between trading volume and volatility of returns. In this specification, the information flows constitute the only mixing variable respon... View more
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