An empirical analysis of the role of the trading intensity in information dissemination on the NYSE

In this paper, we use high-frequency data on five frequently traded stocks listed on the New York Stock Exchange (NYSE) in the year 1999 to examine the price impact of trades and its relation to the trading intensity. We show that the distribution of the absolute price change with fast trading first-order stochastically dominates the distribution of the absolute price change with slow trading. Moreover, we find significant causality from the trade characteristics to the trading intensity. Large trades significantly increase the speed of trading, while large returns tend to decrease the trading intensity. We show that this feedback has little impact on the distribution of the price impact of trades.