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Seminários e Conferências

ISEG Research Seminar | John Turner

22 Mai from 13:00 to 14:00
ISEG, Anfiteatro Novo Banco (Edifício Quelhas)

No dia 22 de maio, John Turner (Queen’s Univervisity, Belfast, Irlanda) apresenta no ISEG o estudo “Prices and informed trading: Evidence from an early stock market“.

O seminário decorre das 13h30 às 14h00, no Anfiteatro Novo Banco (Edifício Quelhas, 4º piso).

Entrada livre.


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.