On the independence of transactions on the New York Stock exchange

Kenneth Garbade*, Zvi Lieber

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

28 Scopus citations

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 languageEnglish
Pages (from-to)151-172
Number of pages22
JournalJournal of Banking and Finance
Volume1
Issue number2
DOIs
StatePublished - Oct 1977

Funding

FundersFunder number
National Science FoundationRDA 75-17953

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