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Volumn 3, Issue 3, 2000, Pages 259-286

On the occurrence and consequences of inaccurate trade classification

Author keywords

Buyer seller initiated trades; G10; Lee and Ready algorithms

Indexed keywords


EID: 0001166896     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(00)00006-9     Document Type: Article
Times cited : (142)

References (13)
  • 1
    • 0030525190 scopus 로고    scopus 로고
    • The accuracy of the tick test: Evidence from the australian stock exchange
    • Aitken M., Frino A. The accuracy of the tick test. evidence from the australian stock exchange Journal of Banking and Finance. 20:1996;1715-1729.
    • (1996) Journal of Banking and Finance , vol.20 , pp. 1715-1729
    • Aitken, M.1    Frino, A.2
  • 2
    • 0037497348 scopus 로고    scopus 로고
    • Trading is hazardous to your wealth: The common stock investment performance of individual investors
    • Barber B., Odean T. Trading is hazardous to your wealth. the common stock investment performance of individual investors Journal of Finance. 55:2000;773-806.
    • (2000) Journal of Finance , vol.55 , pp. 773-806
    • Barber, B.1    Odean, T.2
  • 3
    • 84978544600 scopus 로고
    • Using intraday data to test for effects of index futures on the underlying stock markets
    • Choi H., Subrahmanyam A. Using intraday data to test for effects of index futures on the underlying stock markets. Journal of Futures Markets. 14:1994;293-322.
    • (1994) Journal of Futures Markets , vol.14 , pp. 293-322
    • Choi, H.1    Subrahmanyam, A.2
  • 5
    • 38249030378 scopus 로고
    • Estimating the components of the bid/ask spread
    • Glosten L., Harris L. Estimating the components of the bid/ask spread. Journal of Financial Economics. 21:1988;123-142.
    • (1988) Journal of Financial Economics , vol.21 , pp. 123-142
    • Glosten, L.1    Harris, L.2
  • 6
    • 0000731575 scopus 로고
    • Trades, quotes, inventories, and information
    • Hasbrouck J. Trades, quotes, inventories, and information. Journal of Financial Economics. 22:1988;229-252.
    • (1988) Journal of Financial Economics , vol.22 , pp. 229-252
    • Hasbrouck, J.1
  • 10
    • 84977730741 scopus 로고
    • Inferring trade direction from intraday data
    • Lee C., Ready M. Inferring trade direction from intraday data. Journal of Finance. 46:1991;733-746.
    • (1991) Journal of Finance , vol.46 , pp. 733-746
    • Lee, C.1    Ready, M.2
  • 11
    • 0345973492 scopus 로고
    • Posted versus effective spreads: good prices or bad quotes?
    • Petersen, M., Fialkowski, D., 1994. Posted versus effective spreads: good prices or bad quotes? Journal of Financial Economics 35, 269-292.
    • (1994) Journal of Financial Economics , vol.35 , pp. 269-292
    • Petersen, M.1    Fialkowski, D.2
  • 12
    • 0033433481 scopus 로고    scopus 로고
    • The specialist's discretion: Stopped orders and price improvement
    • Ready M. The specialist's discretion. stopped orders and price improvement Review of Financial Studies. 12:1999;1075-1112.
    • (1999) Review of Financial Studies , vol.12 , pp. 1075-1112
    • Ready, M.1
  • 13
    • 43949151471 scopus 로고
    • Aftermarket support and underpricing of initial public offerings
    • Schultz P., Zaman M. Aftermarket support and underpricing of initial public offerings. Journal of Financial Economics. 35:1994;199-219.
    • (1994) Journal of Financial Economics , vol.35 , pp. 199-219
    • Schultz, P.1    Zaman, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.