Market microstructural effects in Hong Kong
Yan-leung Cheung, Terence Boo Kheng Khoo, Chi-kuen Shum, Asia-Pacific Financial and Forecasting Research Centre
Asia-Pacific Financial and Forecasting Research Centre, City Polytechnic of Hong Kong, 1994 - Stocks - 12 pages
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abnormal changes abnormal excess spread abnormal returns Absolute spread adverse selection component announcement date approaches of estimating ASIA-PACIFIC FINANCIAL behavior changes in volume Cheung and Shum City Polytechnic Closing Price daily data days relative differenced volume downward biasedness estimate compared estimation period event study event window evidence expected returns component exploratory study FINANCIAL AND FORECASTING Financial Economics GKN's findings high-low spread Hong Kong Stock increased liquidity Journal of Financial logarithms market maker market microstructural effects Mean z-stat Mean methodology NASDAQ negative implied spreads null hypothesis number of negative number of observations NYSE order-processing cost component paper Polytechnic of Hong processing cost component quoted spread relative spread SEHK stocks serial correlation sign test significantly standard errors stock prices stock returns subsample suggested by GKN target firms time-varying expected returns Trading Volume transaction prices variable Venkatesh weekly data weekly returns whole sample z-stat Mean z-stat