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Information acquisition and market liquidity: Evidence from EDGAR search activity

Author

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  • Haghighi, Afshin
  • Zhang, Lei
  • Oliver, Barry
  • Faff, Robert

Abstract

We find that information acquisition is associated with an improvement in market liquidity. An empirical analysis of search activity using EDGAR as a proxy for information acquisition shows a theoretical gap in market microstructure models. We also find that EDGAR search is associated with nonsynchronicity, more efficient pricing, and negatively associated with the PIN measure. These results demonstrate that the main finding can be explained through improved incorporation of information into prices and use of sophisticated trading strategies by informed traders.

Suggested Citation

  • Haghighi, Afshin & Zhang, Lei & Oliver, Barry & Faff, Robert, 2023. "Information acquisition and market liquidity: Evidence from EDGAR search activity," Global Finance Journal, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:glofin:v:57:y:2023:i:c:s1044028323000601
    DOI: 10.1016/j.gfj.2023.100865
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    More about this item

    Keywords

    Information acquisition; Market liquidity; EDGAR; Search activity;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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