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

Publication Type

Journal Article

Publication Date

2001

Abstract

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, contrary to Brock and Kleidon's (1992) model, it does not cause volume to be unusually high right before or after the halt. We find a positive relationship between absolute price changes and the number of transactions for both the active and inactive stocks. This supports the findings of Jones, Kaul and Lipson (1994) that these relationships also hold at the intraday level and in a market with different market architecture.

Discipline

Business

Research Areas

Finance

Publication

Journal of Business Finance and Accounting

Volume

28

Issue

1-2

First Page

151

Last Page

174

ISSN

0306-686X

Identifier

10.1111/1468-5957.00369

Publisher

Wiley

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