EconPapers    
Economics at your fingertips  
 

Details about Michael James Aitken

Workplace:Graduate School of Management, Macquarie University, (more information at EDIRC)

Access statistics for papers by Michael James Aitken.

Last updated 2016-11-05. Update your information in the RePEc Author Service.

Short-id: pai51


Jump to Journal Articles

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) Downloads

2013

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

Journal Articles

2016

  1. 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 Downloads

2015

  1. A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency
    Journal of Business Ethics, 2015, 132, (1), 147-170 Downloads
  2. Exchange trading rules, surveillance and suspected insider trading
    Journal of Corporate Finance, 2015, 34, (C), 311-330 Downloads View citations (8)
  3. High frequency trading and end-of-day price dislocation
    Journal of Banking & Finance, 2015, 59, (C), 330-349 Downloads View citations (7)
    See also Working Paper (2013)

2009

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

2008

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

2007

  1. Liquidity supply in electronic markets
    Journal of Financial Markets, 2007, 10, (2), 144-168 Downloads View citations (11)

2005

  1. Closing call auctions and liquidity
    Accounting and Finance, 2005, 45, (4), 501-518 Downloads View citations (8)
  2. Do reductions in tick sizes influence liquidity?
    Accounting and Finance, 2005, 45, (2), 171-184 Downloads View citations (7)
  3. Impact of warrant introductions on the behaviour of underlying stocks: Australian evidence
    Accounting and Finance, 2005, 45, (1), 127-144 Downloads View citations (4)

2004

  1. 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 Downloads View citations (10)

2003

  1. How should liquidity be measured?
    Pacific-Basin Finance Journal, 2003, 11, (1), 45-59 Downloads View citations (44)

2001

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

1998

  1. Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange
    Journal of Finance, 1998, 53, (6), 2205-2223 Downloads View citations (78)

1996

  1. Execution costs associated with institutional trades on the Australian Stock Exchange
    Pacific-Basin Finance Journal, 1996, 4, (1), 45-58 Downloads View citations (6)
  2. Price clustering on the Australian Stock Exchange
    Pacific-Basin Finance Journal, 1996, 4, (2-3), 297-314 Downloads View citations (26)
  3. The accuracy of the tick test: Evidence from the Australian stock exchange
    Journal of Banking & Finance, 1996, 20, (10), 1715-1729 Downloads View citations (25)

1995

  1. An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price
    Australian Journal of Management, 1995, 20, (2), 115-154 Downloads View citations (8)
  2. How Brokers Facilitate Trade for Long-Term Clients in Competitive Securities Markets
    The Journal of Business, 1995, 68, (1), 1-33 Downloads View citations (9)

1991

  1. 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 Downloads View citations (1)
  2. Australian Audit Reports: 1980-89
    Australian Accounting Review, 1991, 1, (1), 12-19 Downloads

1985

  1. The Trading Stock Valuation Adjustment: Some Extensions and Modifications
    Australian Journal of Management, 1985, 10, (1), 77-95 Downloads
 
Page updated 2017-10-18