caa a22 4500 467895805 CHVBK 20180406152803.0 cr unu---uuuuu 170328e20060101xx s 000 0 eng 10.1007/s00181-005-0006-9 doi (NATIONALLICENCE)springer-10.1007/s00181-005-0006-9 Asymmetries in bid and ask responses to innovations in the trading process [Elektronische Daten] [Alvaro Escribano, Roberto Pascual] This paper proposes a new approach to jointly model the trading process and the revisions of market quotes. This method accommodates asymmetries in the dynamics of ask and bid quotes after trade-related shocks. The empirical specification is a vector error correction (VEC) model for ask and bid quotes, with the spread as the co-integrating vector, and with an endogenous trading process. This model extends the vector autoregressive (VAR) model introduced by Hasbrouck (Hasbrouck J (1991) Measuring the information content of stock trades. J Finance 46:179-207). We provide evidence against several symmetry assumptions, very familiar among microstructure models. We report asymmetric adjustments of ask and bid prices to trade-related shocks, and asymmetric impacts of buyer and seller-initiated trades. In general, buys are more informative than sells. The likelihood of symmetric quote responses increases with volatility. We show that our findings are robust across different model specifications, time frequencies, and trading periods. Moreover, we find similar asymmetries in markets with different microstructures. Springer-Verlag, 2005 Market microstructure nationallicence Bid and ask time series nationallicence VEC models nationallicence Adverse-selection costs nationallicence Asymmetric dynamics nationallicence G1 nationallicence Escribano Alvaro Departament of Economics, Universidad Carlos III de Madrid, C/Madrid 126, Getafe, 28903, Madrid, Spain aut Pascual Roberto Departamento de Economía de la Empresa, Universidad de las Islas Baleares, Madrid, Spain aut Empirical Economics Physica-Verlag 30/4(2006-01-01), 913-946 0377-7332 30:4<913 2006 30 181 https://doi.org/10.1007/s00181-005-0006-9 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0006-9 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Escribano Alvaro Departament of Economics, Universidad Carlos III de Madrid, C/Madrid 126, Getafe, 28903, Madrid, Spain aut NATIONALLICENCE 700 1- Pascual Roberto Departamento de Economía de la Empresa, Universidad de las Islas Baleares, Madrid, Spain aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 30/4(2006-01-01), 913-946 0377-7332 30:4<913 2006 30 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer