TY - JOUR
T1 - An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price
AU - Aitken, Michael
AU - Kua, Amaryllis
AU - Brown, Philip
AU - Izan, H. Y.
AU - Watter, Terry
PY - 1995
Y1 - 1995
N2 - 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.
AB - 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.
KW - ANOMALIES
KW - INTRADAY RETURNS
KW - MICROSTRUCTURE
KW - TRADES AT THE ASK PRICE
UR - http://www.scopus.com/inward/record.url?scp=84965949969&partnerID=8YFLogxK
U2 - 10.1177/031289629502000202
DO - 10.1177/031289629502000202
M3 - Article
AN - SCOPUS:84965949969
VL - 20
SP - 115
EP - 154
JO - Australian Journal of Management
JF - Australian Journal of Management
SN - 0312-8962
IS - 2
ER -