文档介绍：Informed Trading Activity and Stock Price Volatility:
Evidence from the London Stock Exchange
Roger D. Huang and Ronald W. Masulis
Owen Graduate School of Management
Vanderbilt University
401 21st Avenue South
Nashville, TN 37203
615-322-3671
Working Paper 99-09
Version: April 26, 1999
We have benefited from seminars at the London School of Economics and Vanderbilt
University. We also thank Christoph Schenzler for programming help. This research was
supported by the Dean's Fund for Research and by the Financial Markets Research Center at
the Owen Graduate School of Management, Vanderbilt University.
Informed Trading Activity and Stock Price Volatility:
Evidence from the London Stock Exchange
Abstract
This study examines the relation between stock price volatility and trading activity on the
London Stock Exchange. The analysis is based on transactions data for individual stocks
comprising the FTSE 100 index. Similar to the daily volatility evidence documented for
Nasdaq stocks, when daytime price volatility in the London market is regressed against
both the number of trades and average trade size, only the number of trades is statistically
significant. However, when hourly trades are separated into size categories, both the
number of small trades and their average size significantly impact price volatility. When
we further split the small trade category into relatively smaller and larger trades, we find
that only for larger trades, close to the maximum guaranteed depth of existing quotes, are
there significant positive impacts on stock price volatility from both the trade frequency
and average trade size. For relatively smaller trades, neither trade activity variable is
significant. Our evidence shows that while London stocks appear to have a price-
volatility relation similar to that found for Nasdaq, the London results are also consisten