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An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price

Author

Listed:
  • Michael Aitken

    (Department of Accounting and Finance, University of Weseern Ausfralia WA 6907.)

  • Amaryllis Kua

    (Department of Finance, University of Sydney NSW 2006.)

  • Philip Brown

    (Department of Finance, University of Sydney NSW 2006.)

  • Terry Watter

    (Department of Accounting, University of Sydney NSW 2006.)

  • H. Y. Izan

    (Department of Finance, University of Sydney NSW 2006.)

Abstract

We explain the probability of a trade at the asking price across time. The database contains intraday bid†ask quotes and transaction prices on the Australian Stock Exchange. We find systematic patterns in the probability of a trade at the asking price, corresponding to previously documented return anomalies, including the day†of†week, end†of†day and turn†of†year anomalies. The probability is higher when a trade is of lower dollar volume, lower buy†order imbalance, lower bid†ask spread, when it is a trade of a smaller firm, a trade of a stock with higher trading frequency, higher price level, and the security is approved for short selling.

Suggested Citation

  • Michael Aitken & Amaryllis Kua & Philip Brown & Terry Watter & H. Y. Izan, 1995. "An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price," Australian Journal of Management, Australian School of Business, vol. 20(2), pages 115-154, December.
    • Handle: RePEc:sae:ausman:v:20:y:1995:i:2:p:115-154
    DOI: 10.1177/031289629502000202
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    References listed on IDEAS

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    Cited by:

    1. Frino, Alex & Jarnecic, Elvis & Johnstone, David & Lepone, Andrew, 2005. "Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 13(3), pages 247-262, June.
    2. Li, Kun & Cursio, Joseph D. & Jiang, Mengfei & Liang, Xi, 2019. "The significance of calendar effects in the electricity market," Applied Energy, Elsevier, vol. 235(C), pages 487-494.
    3. Blazejewski, Adam & Coggins, Richard, 2005. "A local non-parametric model for trade sign inference," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 481-495.
    4. Adam Blazejewski & Richard Coggins, 2004. "A local non-parametric model for trade sign inference," Finance 0408009, University Library of Munich, Germany.
    5. Andros Gregoriou, 2007. "The Asymmetry of the Price Impact of Block Trades and the Bid-Ask Spread. Evidence from the London Stock Exchange," Money Macro and Finance (MMF) Research Group Conference 2006 76, Money Macro and Finance Research Group.
    6. Adam Blazejewski & Richard Coggins, 2004. "A piecewise linear model for trade sign inference," Finance 0412012, University Library of Munich, Germany.
    7. Frino, Alex & Gallagher, David R. & Oetomo, Teddy N., 2006. "Further analysis of the liquidity and information components of institutional orders: Active versus passive funds," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 439-452, November.
    8. Verhoeven, Peter & Ching, Simon & Guan Ng, Hock, 2004. "Determinants of the decision to submit market or limit orders on the ASX," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 1-18, January.
    9. Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.

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