Journal article
An Empirical Analysis of Strategic Behaviour Models
C Comerton-Forde, MA O'brien, PJ Westerholm
Australian Journal of Management | UNIV NEW SOUTH WALES, AUSTR GRAD SCH MANAGEMENT | Published : 2007
Abstract
Existing theoretical models indicate that intraday patterns on stock exchanges are caused by the strategic interaction of informed and liquidity traders. Using unique data from the Helsinki Stock Exchange, which allows individual trades to be attributed to informed and liquidity traders, this paper examines strategic behaviour and intraday patterns. We find that both informed and liquidity traders concentrate trading at the open and close. The results illustrate that a significant proportion of intraday patterns can be explained by strategic trading by informed and liquidity traders. © 2007, SAGE Publications. All rights reserved.