The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Pacific-Basin Finance Journal.
Volume (Year): 7 (1999)
Issue (Month): 5 (December)
Contact details of provider:
Web page: http://www.elsevier.com/locate/pacfin
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.:
- Lehmann, Bruce N & Modest, David M, 1994. " Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Journal of Finance, American Finance Association, vol. 49(3), pages 951-84, July.
- Hamao, Yasushi & Hasbrouck, Joel, 1995.
"Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange,"
Review of Financial Studies,
Society for Financial Studies, vol. 8(3), pages 849-78.
- Hamao, Y. & Hasbrouck, J., 1992. "Securities Trading in the Absence of Dealers: Trade and Quotes on the Tokyo Stock Exchange," Papers 92-35, Columbia - Graduate School of Business.
- Cheung, Yan-Leung & Ho, Richard Yan-Ki & Pope, Peter & Draper, Paul, 1994. "Intraday stock return volatility: The Hong Kong evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 261-276, May.
- Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
- Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar, 1997.
"Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange,"
Journal of Empirical Finance,
Elsevier, vol. 4(2-3), pages 279-293, June.
- Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar, 1997. "Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange," Working Paper Series in Economics and Finance 160, Stockholm School of Economics.
- Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-74.
- Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-61, September.
- Lawrence R. Glosten & Paul R. Milgrom, 1983.
"Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders,"
570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
- Bruce N. Lehmann and David M. Modest., 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Research Program in Finance Working Papers RPF-234, University of California at Berkeley.
- Foster, F Douglas & Viswanathan, S, 1993. " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March.
- McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June.
- Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
- Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December.
- BELTRAN, Helena & GIOT, Pierre & GRAMMIG, Joachim, 2005.
"Commonalities in the order book,"
CORE Discussion Papers
2005011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Discussion Papers (ECON - DÃ©partement des Sciences Economiques) 2005014, Université catholique de Louvain, Département des Sciences Economiques.
- Beltran-Lopez, Héléna & Giot, Pierre & Grammig, Joachim G., 2009. "Commonalities in the order book," CFR Working Papers 09-05, University of Cologne, Centre for Financial Research (CFR).
- Ke, Mei-Chu & Jiang, Ching-Hai & Huang, Yen-Sheng, 2004. "The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 19-39, January.
- Vo, Minh T., 2007. "Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange," Global Finance Journal, Elsevier, vol. 17(3), pages 379-396, 03.
- Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004.
"Volatility regimes and the provisions of liquidity in order book markets,"
Discussion Papers (ECON - DÃ©partement des Sciences Economiques)
2005015, Université catholique de Louvain, Département des Sciences Economiques.
- BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2005. "Volatility regimes and the provision of liquidity in order book markets," CORE Discussion Papers 2005012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brockman, Paul & Chung, Dennis Y., 2008. "Commonality under market stress: Evidence from an order-driven market," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 179-196.
- Adam Blazejewski & Richard Coggins, 2004. "A local non-parametric model for trade sign inference," Finance 0408009, EconWPA.
- Chen, Langnan & Luo, Jiawen & Liu, Hao, 2013. "The determinants of liquidity with G-RJMCMC-VS model: Evidence from China," Economic Modelling, Elsevier, vol. 35(C), pages 192-198.
- Cumhur Ekinci, 2003. "A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange," Finance 0305006, EconWPA, revised 20 May 2004.
- Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
- Rubens Pauluzzo & Enrico Geretto, 2013. "Stock Exchange Markets in Hong Kong: Structure and Main Problems," Transition Studies Review, Springer, vol. 20(1), pages 33-48, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.