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

Michael Aitken, Amaryllis Kua, Philip Brown, Terry Watter and H. Y. Izan
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Amaryllis Kua: Department of Finance, University of Sydney NSW 2006.
Philip Brown: Department of Finance, University of Sydney NSW 2006.
Terry Watter: Department of Accounting, University of Sydney NSW 2006.
H. Y. Izan: Department of Finance, University of Sydney NSW 2006.

Australian Journal of Management, 1995, vol. 20, issue 2, 115-154

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.

Keywords: TRADES AT THE ASK PRICE; INTRADAY RETURNS; MICROSTRUCTURE; ANOMALIES (search for similar items in EconPapers)
Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:20:y:1995:i:2:p:115-154

DOI: 10.1177/031289629502000202

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