01480nas a2200169   4500008004100000245009100041210006900132260000900201300001200210490000700222520089200229653001201121100002001133700001701153700001201170856012801182       1999                        eng d00aLarge Price Movements and Short-Lived Changes in Spreads, Volume, and Selling Pressure0 aLarge Price Movements and ShortLived Changes in Spreads Volume a  c1999  a303-3160 v393 aIn this paper we examine changes in dollar and relative bid-ask spreads of stocks following large price movements. We investigate large increases and decreases separately and link our results to current market microstructure theories on trading activities and spreads. We also look at changes in volume and selling pressure to interpret the changes in trading activity. Our results show that the market reacts differently to price increases and decreases. For large price decreases, trading increases on the sell side even when spreads have increased. For large price increases, trading increases on the buy side during a period of higher spreads. However, the increases in dollar spreads and price pressure are most pronounced at the end of trading day. Our results are consistent with microstructure models that link trading activities and costs to the level of asymmetric information.10aFinance1 aBrooks, Raymond1 aPark, Jinwoo1 aSu, Tie  u/biblio/large-price-movements-and-short-lived-changes-spreads-volume-and-selling-pressure-0