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Seminars and Conferences

ISEG Research Seminar | John Turner

22 May from 13:00 to 14:00
ISEG, Novo Banco Lecture Theatre (Quelhas)

On May 22nd, John Turner (Queen's University, Belfast, Ireland) presents at ISEG the study "Prices and informed trading: Evidence from an early stock market“.

The seminar will take place from 13:30 to 14.00 in the Novo Banco Lecture Theatre (Quelhas, 4th Floor).

Free admission.


Abstract:

Using a novel dataset where all traders are identifiable, we examine trading in the shares of a major company on the London Stock Exchange before 1920. Our main finding is that bid-ask spreads increased in the presence of informed trades. However, we also find that spreads narrowed during periods of informed trading when such trades were timed to periods of large, uninformed volume. Furthermore, our findings suggest that professional traders consistently timed larger volume to such periods. Overall, our results provide support for the classical microstructure theories of informed trading.