TY  - JOUR
T1  - Large Price Movements and Short-Lived Changes in Spreads, Volume, and Selling Pressure
JF  - Quarterly Review of Economics and Finance
Y1  - 1999
A1  - Brooks,Raymond
A1  - Park ,Jinwoo
A1  - Su,Tie
KW  - Finance
AB  - In this paper we examine changes in dollar and relative bid-ask spreads of stocks following large price movements. We investigate large increases and decreases separately and link our results to current market microstructure theories on trading activities and spreads. We also look at changes in volume and selling pressure to interpret the changes in trading activity. Our results show that the market reacts differently to price increases and decreases. For large price decreases, trading increases on the sell side even when spreads have increased. For large price increases, trading increases on the buy side during a period of higher spreads. However, the increases in dollar spreads and price pressure are most pronounced at the end of trading day. Our results are consistent with microstructure models that link trading activities and costs to the level of asymmetric information.
VL  - 39
CP  - 2
U2  - a
U4  - 644732928
ID  - 644732928
ER  -