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