Similar Search Results - EconBiz

Stock market illiquidity's predictive role over economic growth : the Australian evidence

Rai, Alan - In: Review of Pacific Basin financial markets and policies 18 (2015) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10011300963

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus (contributor); … - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...

Persistent link: https://www.econbiz.de/10003727673

Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market

Lo, Kevin; Coggins, Richard - In: Pacific-Basin finance journal 14 (2006) 3, pp. 291-310

Persistent link: https://www.econbiz.de/10003339186

Price and trading volume reactions to index constitution changes : the Australian evidence

Qiu, Mei; Pinfold, John F. - 2005

Persistent link: https://www.econbiz.de/10003332236

The index effect : an investigation of the price, volume and trading effects surrounding changes to the S&P Australian indices

Pullen, Daniel (contributor); Gannon, Gerard L. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003794156

An event time study of the price reaction to large retail trades

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: The quarterly review of economics and finance : journal … 49 (2009) 2, pp. 617-632

Persistent link: https://www.econbiz.de/10003852644

Dispersion of information or market behaviour : general public trading in S&P500 index futures

Gannon, Gerard L. - 2009

Persistent link: https://www.econbiz.de/10003958877

Trading volume, realized volatility and jumps in the Australian stock market

Shahzad, Hassan; Huu Nhan Duong; Kalev, Petko S.; … - In: Journal of international financial markets, … 31 (2014), pp. 414-430

Persistent link: https://www.econbiz.de/10011299302

Information asymmetry, trade size, and the dynamic volume-return relation : evidence from the Australian securities exchange

Sun, Yang; Huu Nhan Duong; Singh, Harminder - In: The financial review : the official publication of the … 49 (2014) 3, pp. 539-564

Persistent link: https://www.econbiz.de/10010401374

Individual investors' trading activities and price volatility

Huu Nhan Duong; Kalev, Petko S. - In: Market microstructure and nonlinear dynamics : keeping …, (pp. 155-188). 2014

Persistent link: https://www.econbiz.de/10010480468

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