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The accuracy of the tick test: Evidence from the Australian stock exchange

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  • Aitken, Michael
  • Frino, Alex
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3VWC6GR-5/2/e3d7ac228081617894c9db99ad1a8178
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 20 (1996)
    Issue (Month): 10 (December)
    Pages: 1715-1729

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    Handle: RePEc:eee:jbfina:v:20:y:1996:i:10:p:1715-1729

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Hasbrouck, Joel, 1988. "Trades, quotes, inventories, and information," Journal of Financial Economics, Elsevier, vol. 22(2), pages 229-252, December.
    2. Lee, Charles M. C., 1992. "Earnings news and small traders : An intraday analysis," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 265-302, August.
    3. Aitken, Michael J & Garvey, Gerald T & Swan, Peter L, 1995. "How Brokers Facilitate Trade for Long-Term Clients in Competitive Securities Markets," The Journal of Business, University of Chicago Press, vol. 68(1), pages 1-33, January.
    4. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
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    Cited by:
    1. Berkman, Henk & Koch, Paul D., 2008. "Noise trading and the price formation process," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 232-250, March.
    2. Asquith, Paul & Oman, Rebecca & Safaya, Christopher, 2010. "Short sales and trade classification algorithms," Journal of Financial Markets, Elsevier, vol. 13(1), pages 157-173, February.
    3. Theissen, Erik, 2001. "A test of the accuracy of the Lee/Ready trade classification algorithm," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 147-165, June.
    4. Timotheos Angelidis & Alexandros Benos, 2009. "The Components of the Bid-Ask Spread: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 15(1), pages 112-144.
    5. Frino, Alex & Jarnecic, Elvis & Johnstone, David & Lepone, Andrew, 2005. "Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 13(3), pages 247-262, June.
    6. Adam Blazejewski & Richard Coggins, 2004. "A local non-parametric model for trade sign inference," Finance 0408009, EconWPA.
    7. Brown, Philip & Thomson, Nathanial & Walsh, David, 1999. "Characteristics of the order flow through an electronic open limit order book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 335-357, November.
    8. Paul Asquith & Rebecca Oman & Christopher Safaya, 2008. "Short Sales and Trade Classification Algorithms," NBER Working Papers 14158, National Bureau of Economic Research, Inc.
    9. Tanggaard, Carsten, 2003. "Errors in Trade Classification: Consequences and Remedies," Finance Working Papers 03-6, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    10. Dar-Hsin Chen & Lloyd P. Blenman, 2003. "An Extended Model of Serial Covariance Bid-Ask Spreads," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 2(1), pages 75-83, April.
    11. Benveniste, Lawrence M. & M. Erdal, Sina & Wilhelm Jr., William J., 1998. "Who benefits from secondary market price stabilization of IOPs?," Journal of Banking & Finance, Elsevier, vol. 22(6-8), pages 741-767, August.
    12. Adam Blazejewski & Richard Coggins, 2004. "A piecewise linear model for trade sign inference," Finance 0412012, EconWPA.
    13. Frino, Alex & Lecce, Steven & Segara, Reuben, 2011. "The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 298-307, June.

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