recent developments in high frequency financial ... - Index of

Table 2 (continued)
Equation Variable NYSE Sample 1996 NYSE Sample 2000 SSE Sample 2000
R 2
Coefficients average Std. (+) (−) Coefficients average Std. (+) (−) Coefficients average Std. (+) (−)
at 0.0826 0.0294 0.0537 0.0260 0.1444 0.0489
bt 0.0802 0.0299 0.0555 0.0263 0.1478 0.0493
x B t 0.5157 0.0658 0.4860 0.0547 0.4845 0.1212
x S t 0.4621 0.0798
0
1
B
This table summarizes the estimation of the VEC model, B 0
@ 0
0
0.3977
0 AaB
1 AbB
0 1
0 0
AaB
AbS
0
1
0.0298
1
at
C bt C
A ex
0.5241 0.1128
B t
ex S 0 1
B C
B C
@ A
t
¼
EC
a L ð Þ
EC
b L
0
B
@
1
ð Þ C
BðLÞ A
SðLÞ st
at 1
bt 1
1 þ AL ð Þ
ex B t 1
ex S 0 1
B C
B C
@ A
t 1
þ
ua t
ub t
uB t
uS 0
1
AaaðLÞ 0 AaBðLÞ AaSðLÞ B 0 AbbðLÞ AbBðLÞ AbSðLÞ C
restrictions, AL ð Þ ¼ B
C
@ ABaðLÞ 0 ABBðLÞ ABSðLÞA 0 1
B C
B C
@ Awith the
t
0 ASbðLÞ ASBðLÞ ASSðLÞ The model is defined in trade time and truncated at 5 lags. We use data on 11 NYSE-listed stocks from January to March 1996, 11 NYSE-listed stocks from January
to March 2000, and 11 SSE stocks from July to September 2000. The model is estimated by SURE. We report, for each sample and variable, the cross-sectional
average of the sum of all lags whenever the coefficients are statistically significant at the 1% level. We also provide the cross-sectional average R 2 for each equation
in the system. Finally, we include the number of stocks for which the coefficient of the corresponding variable is statistically positive/negative at the 1% level. The
error-correction term is the bid-ask spread; Δat (Δbt) is the change in the ask (bid) quote between two consecutive trades. The trade-size indicators are
ex B t ¼ xBt log ðVtÞand ex S t ¼ xS t log ðVtÞ, where Vt is the trade size in number of shares, and xt B (xt S ) equals 1 for buys (sells) and zero otherwise. For midpoint trades
both variables equal zero
Asymmetries in bid and ask responses to innovations in the trading process 69