Academia.eduAcademia.edu

Figure 6 – uploaded by Hee-Joon Ahn

See full PDFdownloadDownload figure
Depth dummy variable regression results The dependent variables used in the regressions are market depth and cumulative depth, both in HK$1000, over the five best queues on both sides of the order book measured during the 30-minute intraday interval. The dependent variables are log-transformed. All within-group dummy variable coefficients are restricted to total zero in order to avoid linear dependency among the independent variables. The t-statistics are based on the White heteroskedasticity consistent standard errors. Table 6

Table 6 Depth dummy variable regression results The dependent variables used in the regressions are market depth and cumulative depth, both in HK$1000, over the five best queues on both sides of the order book measured during the 30-minute intraday interval. The dependent variables are log-transformed. All within-group dummy variable coefficients are restricted to total zero in order to avoid linear dependency among the independent variables. The t-statistics are based on the White heteroskedasticity consistent standard errors. Table 6

Related Figures (8)

Frequency distributions of trade types This table presents the frequency distributions of six trade types in number of trades, share volume, and dollar volume. The respective percentage frequencies of individual trade types are reported in parentheses. The sample consists of common stocks listed on the Stock Exchange of Hong Kong during the six-month period between October 1, 1996 and March 27, 1997. Table 1
Frequency distributions of trade types This table presents the frequency distributions of six trade types in number of trades, share volume, and dollar volume. The respective percentage frequencies of individual trade types are reported in parentheses. The sample consists of common stocks listed on the Stock Exchange of Hong Kong during the six-month period between October 1, 1996 and March 27, 1997. Table 1
Tick sizes by stock price This table presents the exchange-mandated minimum price variations across ten different price ranges in the Stock Exchange of Hong Kong. Table 2
Tick sizes by stock price This table presents the exchange-mandated minimum price variations across ten different price ranges in the Stock Exchange of Hong Kong. Table 2
Summary statistics of price, daily number of trades, share volume, and dollar tumover This table reports the cross-sectional means, standard errors (in parentheses), and medians (in italics) for price, daily number of trades, daily share volume, and daily tumover for 471 common stocks listed on the Stock Exchange of Hong Kong. Stocks with the average price below HK$0.25 or above HK $100 are not included in the sample. For a given stock, the statistics are calculated for the six-month period from October 1, 1996 to March 27, 1997.
Summary statistics of price, daily number of trades, share volume, and dollar tumover This table reports the cross-sectional means, standard errors (in parentheses), and medians (in italics) for price, daily number of trades, daily share volume, and daily tumover for 471 common stocks listed on the Stock Exchange of Hong Kong. Stocks with the average price below HK$0.25 or above HK $100 are not included in the sample. For a given stock, the statistics are calculated for the six-month period from October 1, 1996 to March 27, 1997.
The average quoted and effective spreads This table reports cross-sectional means, standard errors (in parentheses), and medians (in italics for the dollar as well as percentage quoted and effective spreads for 471 common stocks listed on the Stock Exchange of Hong Kong. Stocks priced below HK $0.25 or above HK$100 are not included ir the sample. For a given stock, the statistics are calculated for the six-month period from October 1 1996 to March 27, 1997. Table 4
The average quoted and effective spreads This table reports cross-sectional means, standard errors (in parentheses), and medians (in italics for the dollar as well as percentage quoted and effective spreads for 471 common stocks listed on the Stock Exchange of Hong Kong. Stocks priced below HK $0.25 or above HK$100 are not included ir the sample. For a given stock, the statistics are calculated for the six-month period from October 1 1996 to March 27, 1997. Table 4
Fig. 1. Intraday patterns of percentage quoted and effective spreads, depths and volume.
Fig. 1. Intraday patterns of percentage quoted and effective spreads, depths and volume.
Spread dummy variable regression results The dependent variables used in the regression are the average percentage quoted spread and average percentage effective spread, both measured during the 30-minute intraday interval. All within-group dummy variable coefficients are restricted so that they total zero in order to avoid linear dependency among the independent variables. The t-statistics are based on the White heteroskedasticity consistent standard errors. Table 5
Spread dummy variable regression results The dependent variables used in the regression are the average percentage quoted spread and average percentage effective spread, both measured during the 30-minute intraday interval. All within-group dummy variable coefficients are restricted so that they total zero in order to avoid linear dependency among the independent variables. The t-statistics are based on the White heteroskedasticity consistent standard errors. Table 5
Number of trades, dollar volume, and trade size dummy variable regression results The dependent variables used in the regressions are the number of transactions as well as dollar volume and average trade size, both in HK$1000, measured during the 30-minute intraday interval. All of the dependent variables are log-transformed. All within-group dummy variable coefficients are restricted to total zero in order to avoid linear dependency among the independent variables. The t-statistics are based on the White heteroskedasticity consistent standard errors. Table 7
Number of trades, dollar volume, and trade size dummy variable regression results The dependent variables used in the regressions are the number of transactions as well as dollar volume and average trade size, both in HK$1000, measured during the 30-minute intraday interval. All of the dependent variables are log-transformed. All within-group dummy variable coefficients are restricted to total zero in order to avoid linear dependency among the independent variables. The t-statistics are based on the White heteroskedasticity consistent standard errors. Table 7
Correlation between spreads and depths The correlation between spreads and depths is computed for each stock and for each 30-minute trading interval of the day. Cross-sectional summar tistics are reported. The sample consists of the 33 Hang Seng Index component stocks.
Correlation between spreads and depths The correlation between spreads and depths is computed for each stock and for each 30-minute trading interval of the day. Cross-sectional summar tistics are reported. The sample consists of the 33 Hang Seng Index component stocks.
Related topics:
Adverse SelectionNew York Stock ExchangeTrading Strategy
580 California St., Suite 400
San Francisco, CA, 94104
© 2025 Academia. All rights reserved