I investigate the different roles played by two components of trading volume, informed-trading and liquidity-trading, in the volatility-volume relation at the aggregate level. Using transaction data and an extended trading model of Easley, Kiefer, O’Hara and Paperman (1996), I estimate a marketwide private information arrival rate (PIAR) variable and use it to control for the informed trading c...

The present work studies the behavior of a monopolistic informed trader in a two-period competitive dealer market. We show that the informed trader may engage in stock price manipulation as a result of the exploitation of his informational advantage (su±cient conditions are provided). The informed trader achieves this manipulation by not trading in the ̄rst period according to the information r...

Dark pools are equity trading systems that do not publicly display orders. Orders in dark pools are matched within the exchange bid-ask spread without a guarantee of execution. Informed traders are more likely to cluster on the heavy side of the market and therefore face a lower execution probability in the dark pool, relative to uninformed traders. Consequently, exchanges are more attractive t...

We estimate the probability of informed trading (Pi) in an order-driven stock market and perform a comprehensive analysis on the interrelations among Pi and three common performance indicators: liquidity, volatility, and efficiency. We find that uninformed traders exhibit price chasing behavior, and price volatility attracts uninformed traders. Using 3SLS which considers the endogeneity of Pi a...

Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers virtually all secondary market gilts and contains detailed information on each transaction, including identities of both counterparties. We find that hedge funds’ daily positively forecasts gilt returns following one to five days, which is then fully ...