On the independence of transactions on the New York Stock exchange

Kenneth Garbade; Zvi Lieber

doi:10.1016/0378-4266(77)90004-8

On the independence of transactions on the New York Stock exchange

Kenneth Garbade^*, Zvi Lieber

^*Corresponding author for this work

Coller School of Management

Research output: Contribution to journal › Article › peer-review

Abstract

This paper presents empirical tests of a model of intraday transaction price walks haveior events both the existence of price reversal's in transaction price sequence with random, New York daily. and longer different intervlas. In genral, we find that trasaction of independ events both with respect to their time execution and the siem and (bid or ask) or whick thaye are executed. Over very short intervals times, however, transapction tend to cluster in time and on a particular side of the market. We conjecture that this latter phenomenon is a consequence of market procedures on the New York Stock Exchange.

Original language	English
Pages (from-to)	151-172
Number of pages	22
Journal	Journal of Banking and Finance
Volume	1
Issue number	2
DOIs	https://doi.org/10.1016/0378-4266(77)90004-8
State	Published - Oct 1977

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10.1016/0378-4266(77)90004-8

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title = "On the independence of transactions on the New York Stock exchange",

abstract = "This paper presents empirical tests of a model of intraday transaction price walks haveior events both the existence of price reversal's in transaction price sequence with random, New York daily. and longer different intervlas. In genral, we find that trasaction of independ events both with respect to their time execution and the siem and (bid or ask) or whick thaye are executed. Over very short intervals times, however, transapction tend to cluster in time and on a particular side of the market. We conjecture that this latter phenomenon is a consequence of market procedures on the New York Stock Exchange.",

author = "Kenneth Garbade and Zvi Lieber",

note = "Funding Information: *The research was completed while the latter author was a visiting member of the faculty at New York University. This research was supported by NSF Grant RDA 75-17953. The authors would like to thank Ed Elton, Bill Silber, and an anonymous referee for helpful suggestions on an earlier draft of this paper, and especially John Kavanewsky of DeCordova, Cooper, Kavanewsky & Co. for his assistance in helping the authors to understand what a specialist does. Any remaining errors in the paper are the responsibility of the authors.",

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On the independence of transactions on the New York Stock exchange

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