logo
ads
سفارش طراحی انواع اکسپرت و اندیکاتور
search

از بین هزاران مقاله ما جستجو کنید...

مجموعه آموزشی جامع فارکس

Hamao And Hasbrouck-Securities Trading In The Absence Of Dealers – Trades, And Quotes On The Tokyo

Hamao And Hasbrouck-Securities Trading In The Absence Of Dealers – Trades, And Quotes On The Tokyo

Hamao And Hasbrouck-Securities Trading In The Absence Of Dealers – Trades, And Quotes On The Tokyo

This paper investigates the behavior of intraday trades and quotes for individual stocks on the Tokyo Stock Exchange (TSE). The TSE has no designated market makers and is further distinguished by daily and intraday price limits and conversion to limit orders of market order portions that exceed the size of the current quote. We examine […]

0.12

Hamao And Hasbrouck-Securities Trading In The Absence Of Dealers - Trades, And Quotes On The Tokyo

This paper investigates the behavior of intraday trades and quotes for individual stocks on the Tokyo Stock Exchange (TSE). The TSE has no designated market makers and is further distinguished by daily and intraday price limits and conversion to limit orders of market order portions that exceed the size of the current quote. We examine the ransaction and quote record for three firms for the first three months of 1990.Our findings suggest that the immediacy available (at least for small trades) in the market is high, despite the reliance on public limit orders to supply liquidity . When orders that would otherwise walk through the limit order book are converted into limit orders, execution is delayed, but some orders execute (at least in part) at more favorable prices. Holding order size constant, orders that are delayed in this fashion appear to have a larger information content. Finally, as a consequence of limit order cancellation and autocorrelation in arriving orders, the bid (offer) quote tends to deteriorate further after a sale (purchase).
 

بخش دانلود

  • عنوان مقاله : ...Hamao And Hasbrouck-Securities Trading In
  • نوع فایل : PDF
  • حجم فایل : 460 کیلوبایت

دانلود فایل