메뉴 건너뛰기




Volumn 22, Issue 1, 1997, Pages 47-69

Orders vs trades: Price effects and size measures

Author keywords

Information content; Orders vs trades; Specification test

Indexed keywords


EID: 0002120536     PISSN: 03128962     EISSN: 13272020     Source Type: Journal    
DOI: 10.1177/031289629702200103     Document Type: Article
Times cited : (7)

References (24)
  • 1
    • 14644434083 scopus 로고
    • The adjustment of stock returns to block trading infor Mation
    • no
    • Aggarwal, R. & Chen, SN, 1990, The adjustment of stock returns to block trading infor Mation, Quarterly Journal of Business and Economics, vol. 26, no. 1, pp. 46-56.
    • (1990) Quarterly Journal of Business and Economics , vol.26 , Issue.1 , pp. 46-56
    • Aggarwal, R.1    Chen, S.N.2
  • 2
    • 0001287787 scopus 로고
    • The effect of block transactions on share prices: Australian evidence
    • Ball, R. & Finn, F.J., 1989, The effect of block transactions on share prices: Australian evidence, Journal of Banking and Finance, vol. 13, pp. 397-419.
    • (1989) Journal of Banking and Finance , vol.13 , pp. 397-419
    • Ball, R.1    Finn, F.J.2
  • 3
    • 84977708335 scopus 로고
    • The reaction of investors and stock prices to insider trading
    • Cornell, B. & Sirri, E., 1992, The reaction of investors and stock prices to insider trading, Journal of Finance, vol. 47, pp. 1031-59.
    • (1992) Journal of Finance , vol.47 , pp. 1031-1059
    • Cornell, B.1    Sirri, E.2
  • 4
    • 0002901012 scopus 로고
    • Trading rules, large blocks and the speed of price adjustment
    • Dann, L.Y., Mayers, D. & Raab Jr, R., 1977, Trading rules, large blocks and the speed of price adjustment, Journal of Financial Economics, vol. 4, pp. 3-22.
    • (1977) Journal of Financial Economics , vol.4 , pp. 3-22
    • Dann, L.Y.1    Mayers, D.2    Raab Jr., R.3
  • 5
    • 0010940821 scopus 로고
    • Price, trade size and infor Mation in securities markets
    • Easley, D. & O'Hara, M., 1987, Price, trade size and infor Mation in securities markets, Journal of Financial Economics, vol. 19, pp. 69-90.
    • (1987) Journal of Financial Economics , vol.19 , pp. 69-90
    • Easley, D.1    O'Hara, M.2
  • 8
    • 84977728940 scopus 로고
    • Measuring the infor Mation content of stock trades
    • Hasbrouck, J., 1991, Measuring the infor Mation content of stock trades, Journal of Finance, vol. 46, pp. 179-207.
    • (1991) Journal of Finance , vol.46 , pp. 179-207
    • Hasbrouck, J.1
  • 9
    • 84993869057 scopus 로고
    • Testing for linear and nonlinear causality in the stock pricevolume relation
    • Hiemstra, C. & Jones, J., 1994, Testing for linear and nonlinear causality in the stock pricevolume relation, Journal of Finance, vol. 49, pp. 1,639-64.
    • (1994) Journal of Finance , vol.49 , pp. 164-1639
    • Hiemstra, C.1    Jones, J.2
  • 10
    • 0010690339 scopus 로고
    • The market speed of adjustment to new infor Mation
    • Hillmer, S.C. & Yu, P.L, 1979, The market speed of adjustment to new infor Mation, Journal of Financial Economics, vol. 7, pp. 321-45.
    • (1979) Journal of Financial Economics , vol.7 , pp. 321-345
    • Hillmer, S.C.1    Yu, P.L.2
  • 11
    • 0000822840 scopus 로고
    • The effect of large block transactions on security prices: A crosssectional analysis
    • Holthausen, R.W., Leftwich, R.W. & Mayers, D., 1987, The effect of large block transactions on security prices: A crosssectional analysis, Journal of Financial Economics, vol. 19, pp. 237-67.
    • (1987) Journal of Financial Economics , vol.19 , pp. 237-267
    • Holthausen, R.W.1    Leftwich, R.W.2    Mayers, D.3
  • 12
    • 0001955097 scopus 로고
    • Largeblock transactions, the speed of response, and temporary and permanent stockprice effects
    • Holthausen, R.W., Leftwich, R.W. & Mayers, D., 1990, Largeblock transactions, the speed of response, and temporary and permanent stockprice effects, Journal of Financial Economics, vol. 26, pp. 71-95.
    • (1990) Journal of Financial Economics , vol.26 , pp. 71-95
    • Holthausen, R.W.1    Leftwich, R.W.2    Mayers, D.3
  • 13
    • 0000929855 scopus 로고
    • Special infor Mation and insider trading
    • Jaffe, J.F., 1974, Special infor Mation and insider trading, Journal of Business, vol. 47, pp. 410-28.
    • (1974) Journal of Business , vol.47 , pp. 410-428
    • Jaffe, J.F.1
  • 16
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle, A.S., 1985, Continuous auctions and insider trading, Econometrica, vol. 53, pp. 1,315-35.
    • (1985) Econometrica , vol.53 , pp. 135-1315
    • Kyle, A.S.1
  • 17
    • 84993907815 scopus 로고
    • Price impacts of block trading on the New York stock exchange
    • Kraus, A. & Stoll, H.R., 1972, Price impacts of block trading on the New York stock exchange, Journal of Finance, vol. 27, pp. 569-88.
    • (1972) Journal of Finance , vol.27 , pp. 569-588
    • Kraus, A.1    Stoll, H.R.2
  • 18
    • 78650441863 scopus 로고
    • The efficient market hypothesis and insider trading on the stock market
    • Laffont, JJ & Maskin, ES, 1992, The efficient market hypothesis and insider trading on the stock market, Journal of Political Economy, vol. 98, pp. 70-93.
    • (1992) Journal of Political Economy , vol.98 , pp. 70-93
    • Laffont, J.J.1    Maskin, E.S.2
  • 19
    • 0001531652 scopus 로고
    • The market for securities: Substitution versus price pressure and the effects of infor Mation on share prices
    • Scholes, M.S., 1972, The market for securities: Substitution versus price pressure and the effects of infor Mation on share prices, Journal of Business, vol. 45, pp. 179-211.
    • (1972) Journal of Business , vol.45 , pp. 179-211
    • Scholes, M.S.1
  • 20
    • 84977722029 scopus 로고
    • Equilibrium block trading and asymmetric infor Mation
    • Seppi, D.J., 1990, Equilibrium block trading and asymmetric infor Mation, Review of Financial Studies, vol. 45, pp. 73-94.
    • (1990) Review of Financial Studies , vol.45 , pp. 73-94
    • Seppi, D.J.1
  • 21
    • 38249038899 scopus 로고
    • Insiders' profits, costs of trading and market efficiency
    • Seyhun, H.N., 1986, Insiders' profits, costs of trading and market efficiency, Journal of Financial Economics, vol. 16, pp. 189-212.
    • (1986) Journal of Financial Economics , vol.16 , pp. 189-212
    • Seyhun, H.N.1
  • 22
    • 0000876455 scopus 로고
    • Risk aversion, market liquidity and price efficiency
    • Subrahmanyam, A., 1991, Risk aversion, market liquidity and price efficiency, Review of Financial Studies, vol. 4, pp. 417-42.
    • (1991) Review of Financial Studies , vol.4 , pp. 417-442
    • Subrahmanyam, A.1
  • 23
    • 79959678723 scopus 로고
    • Report on interviews with institutional brokers, School of Economics and Finance Working Paper Series Curtin University
    • Walsh, D.M., 1993, Report on interviews with institutional brokers, School of Economics and Finance Working Paper Series 93-24, Curtin University.
    • (1993) , pp. 24-93
    • Walsh, D.M.1
  • 24
    • 0031068508 scopus 로고    scopus 로고
    • Price reaction to order flow news in Australian equities
    • Walsh, D.M., 1997, Price reaction to order flow news in Australian equities, Pacific Basin Finance Journal, vol. 5, pp. 1-23.
    • (1997) Pacific Basin Finance Journal , vol.5 , pp. 1-23
    • Walsh, D.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.