Information acquisition and market liquidity : Evidence from EDGAR search activity
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Article number | 100865 |
Journal / Publication | Global Finance Journal |
Volume | 57 |
Online published | 28 Jun 2023 |
Publication status | Published - Aug 2023 |
Link(s)
Abstract
We find that information acquisition is associated with an improvement in market liquidity. An empirical analysis of search activity using EDGAR as a proxy for information acquisition shows a theoretical gap in market microstructure models. We also find that EDGAR search is associated with nonsynchronicity, more efficient pricing, and negatively associated with the PIN measure. These results demonstrate that the main finding can be explained through improved incorporation of information into prices and use of sophisticated trading strategies by informed traders. © 2023 Elsevier Inc.
Research Area(s)
- Information acquisition, Market liquidity, EDGAR, Search activity
Citation Format(s)
Information acquisition and market liquidity: Evidence from EDGAR search activity. / Haghighi, Afshin; Zhang, Lei; Oliver, Barry et al.
In: Global Finance Journal, Vol. 57, 100865, 08.2023.
In: Global Finance Journal, Vol. 57, 100865, 08.2023.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review