Search Results - subject:"Intraday data"

Behaviors of liquidity patterns in a limit order-driven market, an evidence from Chinese stock markets

Guo, Mingyuan; Tian, Gary G.; Australian Conference of … - University of Western Sydney; University of Western Sydney; … - 2005

This Paper examines the intraday behaviors of bid/ask spreads, depths and their determinants on an order-driven market in the Shanghai Stock Exchange. Our analysis shows that the intraday 5-minute bid/ask spreads display an L-shaped pattern and the depths exhibit an inverted L-shaped pattern....

Persistent link: https://www.econbiz.de/10009482106

Intraday data and volatility models : evidence from Chinese stocks

Tian, Gary G.; Guo, Mingyuan; Australian Conference of … - University of Western Sydney; University of Western Sydney; … - 2005

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary dataset consists of 5-minute returns and trading volumes for the period between January 1, 2000 and December 31, 2002, for a subset of thirty-nine stocks from the Shanghai Stock...

Persistent link: https://www.econbiz.de/10009482212

The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data

Kearns, Jonathan; Manners, Phil - Reserve Bank of Australia - 2005

This paper uses intraday data to estimate the effect of changes in monetary policy on the exchange rate. We use an …) to ensure that the change in monetary policy is exogenous to the exchange rate. Intraday data allow us to use a short …

Persistent link: https://www.econbiz.de/10005423628

Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data

Fatum, Rasmus; King, Michael R. - Economic Policy Research Unit (EPRU), Økonomisk Institut - 2005

Classification: E58, F31, G14, G15 Keywords: Foreign Exchange Intervention; Intraday Data; Event Studies; Currency Co …, high-frequency (intraday) data on Bank of Canada (BoC) intervention in the CAD/USD exchange rate market over the 1 January … intervention. The data set consists of high-frequency (intraday) data with information on the timing of each intervention …

Persistent link: https://www.econbiz.de/10005749963

Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data

Fatum, Rasmus; King, Michael R. - 2005

This paper analyzes official, high-frequency Bank of Canada intervention and exchange rate data (the latter quoted at the end of every 5-minute interval over every 24-hour period) over the January 1995 to September 1998 time-period. The data is of particular interest as it spans over two...

Persistent link: https://www.econbiz.de/10010320909

The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA

Simpson, Marc; Moreno, Jose; Ozuna, Teofilo - In: Review of Quantitative Finance and Accounting 38 (2012) 3, pp. 347-365

Persistent link: https://www.econbiz.de/10010867742

Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates

Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - In: Journal of the Japanese and International Economies 26 (2012) 4, pp. 542-560

This paper investigates the possible asymmetric response of 5-min intraday JPY/USD exchange rates to macroeconomic news announcements during 1999–2006 when the Japanese money market interest rate was effectively zero. This period provides a unique institutional setting when interest rates may...

Persistent link: https://www.econbiz.de/10011049607

Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi Stock Market

Alzahrani, Ahmed A.; Gregoriou, Andros; Hudson, Robert - In: Emerging Markets Review 13 (2012) 2, pp. 202-209

–2008. Using a unique dataset of intraday data consisting of 2.3million block buys and 1.9million block sales, we find an asymmetry …

Persistent link: https://www.econbiz.de/10010577792

Can market frictions really explain the price impact asymmetry of block trades? : evidence from the Saudi Stock Market

Alzahrani, Ahmed A.; Gregoriou, Andros; Hudson, Robert - In: Emerging markets review 13 (2012) 2, pp. 202-209

Persistent link: https://www.econbiz.de/10010219486

The makings of an information leader : the intraday price discovery process for individual stocks in the DJIA

Simpson, Marc W.; Moreno, Jose F.; Ozuna, Teofilo - In: Review of quantitative finance and accounting 38 (2012) 3, pp. 347-365

Persistent link: https://www.econbiz.de/10009532193