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Title :An exploratory analysis of the order book, order flow and execution on the Athens stock market
Creator :Katradi-Mexi, Stavroula
Contributor :Δελλαπόρτας, Πέτρος (Επιβλέπων καθηγητής)
Publisher :Οικονομικό Πανεπιστήμιο Αθηνών
Type :Text
Extent :64σ.
Language :en
Bibliographic Citation :Βιβλιογραφία : σ. 58-64
Abstract :The recent availability of order, quote, and transaction data from stock markets around the world has stimulated research on intraday stock market phenomena. Intraday patterns identified in the data of US and other developed countries include the persistent U-shaped patterns in returns, number of shares traded, volumes, bid-ask spreads, and volatility. U-shaped patterns refer to the heavy trading activity on financial markets at the beginning and at the end of the trading day, and the relatively light trading activity over the middle of the day (Admati and Pfeiderer (1988)). For the US markets, these include studies by Wood et al. (1985), Jain and Joh (1988), McInish and Wood (1991, 1992), Brock and Kleidon (1992), Gerety and Mulherin (1992), Foster and Viswanathan (1993) and Chan et al. (1995a,b). McInish and Wood (1990) report similar results for the Toronto Stock Exchange and Lehmann and Modest (1994) and U-shaped patterns in trading for the Tokyo Stock Exchange.Other studies that examine order-driven markets provide new evidence on patterns in the order book, order flow, and the interaction between the order book and order flow. A representative example is the empirical analysis by Biais et al. (1995) of the limit order book and order flow on the Paris Bourse. Niemeyer and Sandas (1995), Hedvall and Niemeyer (1996), Niemeyer and Sandas (1996) and Hedvall et al. (1997) perform similar analyses for stock markets in Stockholm and Helsinki.In this thesis, we study the Athens Stock Market which was recently characterized as a developed market. The objective of this dissertation is at first to examine the behavior of market participants in the Stock Market. We try to understand the effect of order placement on market liquidity and to determine whether certain patterns can be generalized to other trading structures.
Subject :Financial market
International financial market
Χρηματιστήριο αξιών
Χρηματιστηριακή αγορά
Χρηματιστηριακές εργασίες
Date Issued :2010

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