Market and price factors in transaction-to-transaction price change behaviour of common stocks
Applied EconomicsPublished 1 March 1974
Kenneth J. Carey, Lawrence A. Sherr
Citations6
SJR quartileQ2
SJR score0.62
SNIP0.89
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Abstract
This study is concerned with a Markov model for transaction-to-transaction price changes. I By performing appropriate tests on estimated transition probability matrices for individual stocks, we found that (1) individual stocks generally exhibit dependence of this type, (2) price differences lead to different price change behaviour, and (3) many stocks behave differently I during different types of markets.
Keywords
Economics, Econometrics and Finance
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This paper reviews the current status of the random-walk model as it applies to price-change sequences in common stocks, and examines certain striking dependencies in these sequences at the transaction level.
