Asymmetric relationship between order imbalance and realized volatility : evidence from the Australian market
Emawtee Bissoondoyal-Bheenick, Robert Brooks, Hung Xuan Do
| Year of publication: |
2019
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|---|---|
| Authors: | Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert ; Do, Hung Xuan |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 62.2019, p. 309-320
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| Subject: | ASX50 | Buyer-versus seller-initiated trades | Order imbalance | Realized semivariances | Realized volatility | Volatilität | Volatility | Australien | Australia | Aktienmarkt | Stock market | Wertpapierhandel | Securities trading | Kapitaleinkommen | Capital income | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2019.04.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012205552