Time and the Price Impact of a Trade
利用Hasbrouck的向量自回归模型，实证检验交易间隔时间对价格冲击、价格调整速度和交易自相关的影响，发现交易越频繁时这些效应越强，表明活跃市场中知情交易者增多、流动性降低。
We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade‐related information, and the positive autocorrelation of signed trades all increase. This suggests that times when markets are most active are times when there is an increased presence of informed traders; we interpret such markets as having reduced liquidity.