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Table 1 Studies on the determinants of PIN

From: Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market

Factor

Definition

Studies/expected sign

Observations

PIN (t − 1)

PIN estimated for the previous period

Chen et al. (2007) (+)

The autoregressive framework is preferred to control for the persistence in time of information asymmetry

Spread

\(\frac{ask-bid}{(ask+bid)/2}\)

Chen and Choi (2012) (+), Ahern (2020) (+)

The bid-ask spread is divided by mid-quotes to measure the relative discrepancy between the bid and ask quotes

Trading volume

The average of the logarithms of the total daily trading volumes computed for each month

Chen and Choi (2012) (+), Sankaraguruswamy et al. (2013) (−)

Agudelo et al. (2015) (−) use the number of trades as the independent variable. Sankaraguruswamy et al. (2013) (−) use price as an independent variable

Market capitalization

The logarithm of the market capitalization for each company

Tang et al. (2010) (+), Zhang and Yan (2015) (−), Aslan et al. (2011) (−), Sankaraguruswamy et al. (2013) (−)

 

Volatility

The standard deviation of daily stock returns

Sankaraguruswamy et al. (2013) (−)

Â