Details about Michael James Aitken

Access statistics for papers by Michael James Aitken.

Last updated 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pai51

Working Papers

2016

1. A PIN per Day Shows What News Convey – Price-Sensitive Announcements and the Intraday Probability of Informed Trading
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (1)

2013

2. Exchange trading rules, surveillance and insider trading
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (3)
3. High frequency trading and end-of-day price dislocation
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
   See also Journal Article High frequency trading and end-of-day price dislocation, Journal of Banking & Finance, Elsevier (2015) View citations (35) (2015)

Journal Articles

2023

1. Algorithmic trading and market quality: International evidence of the impact of errors in colocation dates
   Journal of Banking & Finance, 2023, 151, (C) View citations (2)

2018

2. Market Fairness: The Poor Country Cousin of Market Efficiency
   Journal of Business Ethics, 2018, 147, (1), 5-23 View citations (9)

2017

3. The impact of fragmentation, exchange fees and liquidity provision on market quality
   Journal of Empirical Finance, 2017, 41, (C), 140-160 View citations (23)

2016

4. A PIN per day shows what news convey: the intraday probability of informed trading
   Review of Quantitative Finance and Accounting, 2016, 47, (4), 1187-1220 View citations (1)

2015

5. A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency
   Journal of Business Ethics, 2015, 132, (1), 147-170 View citations (7)
6. Exchange trading rules, surveillance and suspected insider trading
   Journal of Corporate Finance, 2015, 34, (C), 311-330 View citations (43)
7. High frequency trading and end-of-day price dislocation
   Journal of Banking & Finance, 2015, 59, (C), 330-349 View citations (35)
   See also Working Paper High frequency trading and end-of-day price dislocation, CFS Working Paper Series (2013) View citations (1) (2013)

2009

8. What order flow reveals about the role of the underwriter in IPO aftermarkets
   International Journal of Managerial Finance, 2009, 5, (1), 16-49 View citations (2)

2008

9. Financial analysts and price discovery
   Accounting and Finance, 2008, 48, (1), 1-24 View citations (2)

2007

10. Liquidity supply in electronic markets
    Journal of Financial Markets, 2007, 10, (2), 144-168 View citations (25)

2005

11. Closing call auctions and liquidity
    Accounting and Finance, 2005, 45, (4), 501-518 View citations (22)
12. Do reductions in tick sizes influence liquidity?
    Accounting and Finance, 2005, 45, (2), 171-184 View citations (13)
13. Impact of warrant introductions on the behaviour of underlying stocks: Australian evidence
    Accounting and Finance, 2005, 45, (1), 127-144 View citations (8)

2004

14. The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney
    Journal of Futures Markets, 2004, 24, (7), 675-696 View citations (14)

2003

15. How should liquidity be measured?
    Pacific-Basin Finance Journal, 2003, 11, (1), 45-59 View citations (68)

2001

16. The use of undisclosed limit orders on the Australian Stock Exchange
    Journal of Banking & Finance, 2001, 25, (8), 1589-1603 View citations (33)

1996

17. Execution costs associated with institutional trades on the Australian Stock Exchange
    Pacific-Basin Finance Journal, 1996, 4, (1), 45-58 View citations (12)
18. Price clustering on the Australian Stock Exchange
    Pacific-Basin Finance Journal, 1996, 4, (2-3), 297-314 View citations (45)
19. The accuracy of the tick test: Evidence from the Australian stock exchange
    Journal of Banking & Finance, 1996, 20, (10), 1715-1729 View citations (38)

1995

20. An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price
    Australian Journal of Management, 1995, 20, (2), 115-154 View citations (9)
21. How Brokers Facilitate Trade for Long-Term Clients in Competitive Securities Markets
    The Journal of Business, 1995, 68, (1), 1-33 View citations (12)

1991

22. A note on the effect of controlling for transaction costs on the small firm anomaly: Additional Australian evidence
    Journal of Banking & Finance, 1991, 15, (6), 1195-1202 View citations (3)
23. Australian Audit Reports: 1980-89
    Australian Accounting Review, 1991, 1, (1), 12-19

1985

24. The Trading Stock Valuation Adjustment: Some Extensions and Modifications
    Australian Journal of Management, 1985, 10, (1), 77-95