An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price

Michael Aitken, Amaryllis Kua, Philip Brown, H. Y. Izan, Terry Watter

Research output: Contribution to journalArticle

10 Citations (Scopus)

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 languageEnglish
Pages (from-to)115-154
Number of pages40
JournalAustralian Journal of Management
Volume20
Issue number2
DOIs
Publication statusPublished - 1995
Externally publishedYes

Keywords

  • ANOMALIES
  • INTRADAY RETURNS
  • MICROSTRUCTURE
  • TRADES AT THE ASK PRICE

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