An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price

We explain the probability of a trade at the asking price across time. The database contains intraday bidâ€ask quotes and transaction prices on the Australian Stock Exchange. We find systematic patterns in the probability of a trade at the asking price, corresponding to previously documented return anomalies, including the dayâ€ofâ€week, endâ€ofâ€day and turnâ€ofâ€year anomalies. The probability is higher when a trade is of lower dollar volume, lower buyâ€order imbalance, lower bidâ€ask spread, when it is a trade of a smaller firm, a trade of a stock with higher trading frequency, higher price level, and the security is approved for short selling.