The fresh new coefficient for OL rates is much larger than the absolute property value the coefficient to own Financing dimensions
We fool around with VPIN (Volume-Synchronized Odds of Advised Trade) (Easley mais aussi al. 2012) and you can Bid-Inquire Pass on (Lee https://www.paydayloansmichigan.org/cities/flint/ et al. 1993; Madhavan ainsi que al. 1997) given that steps of information asymmetry regarding stock market to be sure the fresh robustness of our findings.
Easley ainsi que al. (2012) enhances the formula off PIN and you will shows VPIN.
