We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French's (1993) model and the market's expectation of total risk as represented by the VIX (the “fear factor”). Our findings...

This paper is concerned with investigating the order placement behavior of different types of traders on the ASX. We find strong evidence of informed traders use of limit orders, as well as insights into the evolution of liquidity over a trading day. The greatest increase of informed traders use...

Using stocks from a wide range of industry sectors on the Australian Securities Exchange, this paper examines the conditional distribution of intra-day stock prices and predicts the direction of the next price change in an ordered-probit-GARCH framework that accounts for the discreteness of...