The summary informativeness of stock trades
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Item Type Article Thumbnails References. You have javascript disabled. Purchase Options Purchase a PDF. Why register for MyJSTOR? Access supplemental materials and multimedia. Unlimited access to purchased articles. Ability to save and export citations. Custom alerts when new content is added. Abstract In a security market with asymmetrically informed participants, trades are signals of private information. In this article, new measures of trade informativeness are proposed based on a decomposition of the variance of changes in the efficient price into trade-correlated and -uncorrelated components.
The trade-correlated component has a natural interpretation as an absolute measure of trade informativeness.
The ratio of this component to the total variance is a relative measure i. For a sample of NYSE-listed companies, trades are found to be more informative for small firms in both absolute and relative senses.
From an analysis of intraday patterns, it appears that trades are in absolute terms more informative at the beginning of trading, but slightly less informative in relative terms.
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