Abstract
We explain the probability of a trade at the asking price across time. The database contains intraday bid‐ask quotes and transaction prices on the Australian Stock Exchange. We find systematic patterns in the probability of a trade at the asking price, corresponding to previously documented return anomalies, including the day‐of‐week, end‐of‐day and turn‐of‐year anomalies. The probability is higher when a trade is of lower dollar volume, lower buy‐order imbalance, lower bid‐ask spread, when it is a trade of a smaller firm, a trade of a stock with higher trading frequency, higher price level, and the security is approved for short selling.
Original language | English |
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Pages (from-to) | 115-154 |
Number of pages | 40 |
Journal | Australian Journal of Management |
Volume | 20 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1995 |
Externally published | Yes |
Keywords
- ANOMALIES
- INTRADAY RETURNS
- MICROSTRUCTURE
- TRADES AT THE ASK PRICE