零售订单流的信息含量：来自分散市场的证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2024-08-02 DOI:10.1016/j.jbankfin.2024.107275

Bidisha Chakrabarty , Justin Cox , James E Upson

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引用次数: 0

摘要

我们研究了场外零售订单流相对于场外机构订单流和场内订单流的信息含量。我们使用其他零售订单识别来源，并考虑到市场不透明会影响机构和销售零售订单的经纪商的订单路由选择。在控制交易量影响后，我们发现零售订单流比场外机构订单流更有信息。场外价格发现主要来自零售订单流。然而，在 Robinhood 活动较多的日子里，零售订单流的信息含量会下降。我们的结果调和了这一文献中一些好坏参半的结论。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The information content of retail order flow: Evidence from fragmented markets

We examine the information content of off-exchange retail order flow relative to off-exchange institutional and on-exchange order flow. We use alternative sources of retail order identification and account for the fact that market opacity affects the order routing choices of both institutions and the brokers who sell retail orders. After controlling for volume effects, we find that retail order flow is more informed than off-exchange institutional order flow. Off-exchange price discovery comes mostly from retail order flow. However, on days with greater Robinhood activity, the information content of retail order flow drops. Our results reconcile some mixed findings in this literature.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.