| 3 | Probability of informed trading during the COVID‑19 pandemic:the case of the Romanian stock market显示文摘Using data from the Bucharest Stock Exchange,we examine the factors influencing the probability of informed trading(PIN)during February—October 2020,a COVID-19 pandemic period.Based on an unconditional quantile regression approach,we show that PIN exhibit asymmetric dependency with liquidity and trading costs.Furthermore,building a customized database that contains all insider transactions on the Bucharest Stock Exchange,we reveal that these types of orders monotonically increase the infor-mation asymmetry from the 50th to the 90th quantile throughout the PIN distribution.Finally,we bring strong empirical evidence associating the level of information asym-metry to the level of fake news related to the COVID-19 pandemic.This novel result suggests that during episodes when the level of PIN is medium to high(between 15 and 50%),any COVID-19 related news classified as misinformation released during the lockdown period,is discouraging informed traders to place buy or sell orders condi-tioned by their private information. | Cosmin Octavian Cepoi Victor Dragotă Ruxandra Trifan Andreea Iordache | 2023 | Financial Innovation2023，9，1： | 0 |
您所在的机构暂未开通此部分的功能，请联系管理员