An Empirical Study on the Information Structure of International Stock Markets

Abstract

Since information is an important role on investment decision, investors have the needs to obtain and analyze the information. Past literature on information focuses on theoretical models because of the abstract essence of information. Therefore, it is necessary to transform it into observable and measurable forms. By applying Poisson jump-diffusion processes, this study uses cumulants to measure the information structure of international stock markets. The results indicate that: (1) Continuous trading, computerized trading, transaction taxes and margin requirements are the determinants of price volatility. (2) Information bias is smaller in a continuous market rather than in a call market. (3) Computerized trading does not necessarily induce price volatility.