The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation

The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation This paper investigates the information content of trading volume on the Toronto Stock Exchange before and after the move towards fully electronic trading. It is argued that if price discovery improves under electronic trading, the predictive power of volume should be less significant. The empirical analysis supports more accurate price discovery under electronic trading. Results from both the structural and vector autoregression models indicate that the predictive power of volume for price variability disappears after full automation. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2002 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1021109325128
Publisher site
See Article on Publisher Site

Abstract

This paper investigates the information content of trading volume on the Toronto Stock Exchange before and after the move towards fully electronic trading. It is argued that if price discovery improves under electronic trading, the predictive power of volume should be less significant. The empirical analysis supports more accurate price discovery under electronic trading. Results from both the structural and vector autoregression models indicate that the predictive power of volume for price variability disappears after full automation.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Oct 13, 2004

References

  • Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
    Anderson, H. M.; Vahid, F.

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