Information acquisition and market liquidity: Evidence from EDGAR search activity

Afshin Haghighi; Lei Zhang; Barry  Oliver; Robert Faff

doi:10.1016/j.gfj.2023.100865

Information acquisition and market liquidity: Evidence from EDGAR search activity

Afshin Haghighi^*
, Lei Zhang
, Barry Oliver
, Robert Faff

^*Corresponding author for this work

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

1 Citation (Scopus)

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.

Original language	English
Article number	100865
Journal	Global Finance Journal
Volume	57
Online published	28 Jun 2023
DOIs	https://doi.org/10.1016/j.gfj.2023.100865
Publication status	Published - Aug 2023

Research Keywords

Information acquisition
Market liquidity
EDGAR
Search activity

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10.1016/j.gfj.2023.100865

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@article{60dcb61c67fe438086c5d6148b805303,

title = "Information acquisition and market liquidity: Evidence from EDGAR search activity",

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. {\textcopyright} 2023 Elsevier Inc.",

keywords = "Information acquisition, Market liquidity, EDGAR, Search activity",

author = "Afshin Haghighi and Lei Zhang and Barry Oliver and Robert Faff",

year = "2023",

month = aug,

doi = "10.1016/j.gfj.2023.100865",

language = "English",

volume = "57",

journal = "Global Finance Journal",

issn = "1044-0283",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Information acquisition and market liquidity

T2 - Evidence from EDGAR search activity

AU - Haghighi, Afshin

AU - Zhang, Lei

AU - Oliver, Barry

AU - Faff, Robert

PY - 2023/8

Y1 - 2023/8

N2 - 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.

AB - 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.

KW - Information acquisition

KW - Market liquidity

KW - EDGAR

KW - Search activity

U2 - 10.1016/j.gfj.2023.100865

DO - 10.1016/j.gfj.2023.100865

M3 - RGC 21 - Publication in refereed journal

SN - 1044-0283

VL - 57

JO - Global Finance Journal

JF - Global Finance Journal

M1 - 100865

ER -

Information acquisition and market liquidity: Evidence from EDGAR search activity

Abstract

Research Keywords

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