๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Intraday Returns and the Frequency of Trading at the Ask on the Sydney Futures Exchange: A Research Note

โœ Scribed by Michael Aitken; Alex Frino; Elvis Jarnecic


Book ID
108513945
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
126 KB
Volume
33
Category
Article
ISSN
0001-3072

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Evidence on the effect of information an
โœ Beni Lauterbach; Margaret Monroe ๐Ÿ“‚ Article ๐Ÿ“… 1989 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 468 KB

everal studies such as and document that S equity returns are more volatile during trading hours than during non-trading hours. In a recent paper, examine the behavior of the daily (close to close) returns of all NYSE and AMEX stocks. They find that trading hour return variance is much higher th

The impact of electronic trading on bid-
โœ Michael J. Aitken; Alex Frino; Amelia M. Hill; Elvis Jarnecic ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 135 KB ๐Ÿ‘ 1 views

## Abstract During 1999 and 2000, three major futures exchanges transferred trading in stock index futures from open outcry to electronic markets: the London International Financial Futures and Options Exchange (LIFFE); the Sydney Futures Exchange (SFE); and the Hong Kong Futures Exchange (HKFE). T

An analysis of trading and nontrading pe
โœ Edwin D. Maberly ๐Ÿ“‚ Article ๐Ÿ“… 1987 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 183 KB

Junkus (1986) tested for the existence of the Monday effect for Value Line spot and futures prices. No statistically significant evidence of the Monday effect was found on a close-to-close basis for either spot or futures prices. The purpose of this note is to show that a well-defined Monday effec