A PIN per day shows what news convey: the intraday probability of informed trading

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• 作者：Thomas Pöppe ; Michael Aitken ; Dirk Schiereck…
• 关键词：Capital markets ; Probability of informed trading ; Information asymmetry ; High ; frequency trading ; Insider trading regulation
• 刊名：Review of Quantitative Finance and Accounting
• 出版年：2016
• 出版时间：November 2016
• 年：2016
• 卷：47
• 期：4
• 页码：1187-1220
• 全文大小：657 KB
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Finance and Banking
  Accounting and Auditing
  Econometrics
  Operation Research and Decision Theory
  
• 出版者：Springer Netherlands
• ISSN：1573-7179
• 卷排序：47

文摘

This paper develops a new intraday estimation procedure for the sequential microstructure trading model initially proposed by Easley et al. (Rev Financ Stud 10:805–835, 1997a). Using a full year of intraday trading data for the top 100 German stocks, we demonstrate how the new estimation procedure eliminates or significantly reduces the shortcomings of the original approach in recent, high-frequency trading environments. We slice a trading day in buckets of several minutes’ length to obtain one estimate of the composite variable probability of informed trading (PIN) per day. This approach makes PIN applicable in short horizon event studies. Convergence rates are above 95 % even for the most liquid stocks and the model’s underlying assumptions of independence for the arrival of traders and information events are fulfilled to a much higher degree than in the original approach. An empirical application in an event study type setting demonstrates how official announcements stipulated in German insider trading legislation significantly reduce information asymmetry upon public disclosure.