Which trade sizes move prices on the Singapore Stock Exchange?
Using transactions data of all constituent stocks of the Straits Times Index (STI) spanning January 2001 to November 2007, this study examines how trades of different sizes contribute to the intra-day cumulative price changes, and the trade size choices of informed traders in an automated, non-marke...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/9783 |
| _version_ | 1826127616540672000 |
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| author | Liu, Jia Foo, Yi Kim Oh, Eline Hwee Yin |
| author2 | Charoenwong, Charlie |
| author_facet | Charoenwong, Charlie Liu, Jia Foo, Yi Kim Oh, Eline Hwee Yin |
| author_sort | Liu, Jia |
| collection | NTU |
| description | Using transactions data of all constituent stocks of the Straits Times Index (STI) spanning January 2001 to November 2007, this study examines how trades of different sizes contribute to the intra-day cumulative price changes, and the trade size choices of informed traders in an automated, non-market maker, order-driven market. |
| first_indexed | 2024-10-01T07:11:28Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/9783 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T07:11:28Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/97832023-05-19T06:16:13Z Which trade sizes move prices on the Singapore Stock Exchange? Liu, Jia Foo, Yi Kim Oh, Eline Hwee Yin Charoenwong, Charlie Nanyang Business School DRNTU::Business::Finance::Stock exchanges Using transactions data of all constituent stocks of the Straits Times Index (STI) spanning January 2001 to November 2007, this study examines how trades of different sizes contribute to the intra-day cumulative price changes, and the trade size choices of informed traders in an automated, non-market maker, order-driven market. 2008-09-24T07:36:19Z 2008-09-24T07:36:19Z 2008 2008 Final Year Project (FYP) http://hdl.handle.net/10356/9783 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business::Finance::Stock exchanges Liu, Jia Foo, Yi Kim Oh, Eline Hwee Yin Which trade sizes move prices on the Singapore Stock Exchange? |
| title | Which trade sizes move prices on the Singapore Stock Exchange? |
| title_full | Which trade sizes move prices on the Singapore Stock Exchange? |
| title_fullStr | Which trade sizes move prices on the Singapore Stock Exchange? |
| title_full_unstemmed | Which trade sizes move prices on the Singapore Stock Exchange? |
| title_short | Which trade sizes move prices on the Singapore Stock Exchange? |
| title_sort | which trade sizes move prices on the singapore stock exchange |
| topic | DRNTU::Business::Finance::Stock exchanges |
| url | http://hdl.handle.net/10356/9783 |
| work_keys_str_mv | AT liujia whichtradesizesmovepricesonthesingaporestockexchange AT fooyikim whichtradesizesmovepricesonthesingaporestockexchange AT ohelinehweeyin whichtradesizesmovepricesonthesingaporestockexchange |