An Analysis of Transaction Data for the Stock Exchange of Singapore: Patterns, Absolute Price Change, Trade Size and Number of Transaction

• Main Authors: DING, David K., Lau, S.T.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1998
• Subjects: market microstructure; tick data; returns; forecasting; volume; Singapore; Business
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/751; https://doi.org/10.1111/1468-5957.00369
• Institution: Singapore Management University

The availability of the transactions data of the Stock Exchange of Singapore allows us to examine intraday patterns and the relation among absolute price change, trade size and number of transactions. The presence of a trading halt in the mid-day results in two crude U-shaped return patterns but, co...