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An analysis of transactions data for the Toronto Stock Exchange · Study

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ArticleAn analysis of transactions data for the Toronto Stock Exchange

Thomas H. McInish1990

Article1990

An analysis of transactions data for the Toronto Stock Exchange

Thomas H. McInish · R.J.K. Wood

110 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1988A Theory of Intraday Patterns: Volume and Price Variability 1986A transaction data study of weekly and intradaily patterns in stock returns 1988The Dependence between Hourly Prices and Trading Volume 1985An Investigation of Transactions Data for NYSE Stocks 1989Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects 1989A Day-End Transaction Price Anomaly 1974MARKETABILITY OF COMMON STOCKS IN CANADA AND THE U.S.A.: A COMPARISON OF AGENT VERSUS DEALER DOMINATED MARKETS

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2016A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices 2000An exploratory analysis of the order book, and order flow and execution on the Saudi stock market 2014Gone in Ten Minutes: Intraday Evidence of Announcement Effects in the Electronic Corn Futures Market 1991HOURLY RETURNS, VOLUME, TRADE SIZE, AND NUMBER OF TRADES 2001Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market 2001The impact of salient political and economic news on the trading activity

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Details

Year1990

Typearticle

Published1990-08-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations110

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0378-4266(90)90058-a

openalex_workW1509789218

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2001Equity Trading Practices and Market Structure: Assessing Asset Managers’ Demand for Immediacy

2011The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX30