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Informed trading and the bid-ask spread: evidence from an emerging market.

Publication at Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education |
2003

Abstract

The bid-ask spread affects significantly the performance of financial markets. We explore the impact of informed trading on the composition of the bid-ask spread in high frequency data from the Czech equity market, which has been plagued by informed trading due to insufficient regulation and missing institution.