TY - JOUR
T1 - On the independence of transactions on the New York Stock exchange
AU - Garbade, Kenneth
AU - Lieber, Zvi
N1 - 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.
PY - 1977/10
Y1 - 1977/10
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0038989999&partnerID=8YFLogxK
U2 - 10.1016/0378-4266(77)90004-8
DO - 10.1016/0378-4266(77)90004-8
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AN - SCOPUS:0038989999
SN - 0378-4266
VL - 1
SP - 151
EP - 172
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 2
ER -