Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market
Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market
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Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
Journal title
Language
English
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Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
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Contents
Using data from the Bucharest Stock Exchange, we examine the factors influencing the probability of informed trading (PIN) during February—October 2020, a COVID-19 pandemic period. Based on an unconditional quantile regression approach, we show that PIN exhibit asymmetric dependency with liquidity and trading costs. Furthermore, building a customiz...
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Full title
Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market
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TN_cdi_doaj_primary_oai_doaj_org_article_aa5d5f887cb24ee58ee080d55907ac29
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_aa5d5f887cb24ee58ee080d55907ac29
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ISSN
2199-4730
E-ISSN
2199-4730
DOI
10.1186/s40854-022-00415-9
