Le contenu informatif des prix et des volumes à la bourse de Paris
Journal de la société française de statistique (1997)
- Volume: 138, Issue: 3, page 19-44
- ISSN: 1962-5197
Access Full Article
topHow to cite
topGajewski, Jean-François. "Le contenu informatif des prix et des volumes à la bourse de Paris." Journal de la société française de statistique 138.3 (1997): 19-44. <http://eudml.org/doc/198715>.
@article{Gajewski1997,
author = {Gajewski, Jean-François},
journal = {Journal de la société française de statistique},
language = {fre},
number = {3},
pages = {19-44},
publisher = {Société de statistique de Paris},
title = {Le contenu informatif des prix et des volumes à la bourse de Paris},
url = {http://eudml.org/doc/198715},
volume = {138},
year = {1997},
}
TY - JOUR
AU - Gajewski, Jean-François
TI - Le contenu informatif des prix et des volumes à la bourse de Paris
JO - Journal de la société française de statistique
PY - 1997
PB - Société de statistique de Paris
VL - 138
IS - 3
SP - 19
EP - 44
LA - fre
UR - http://eudml.org/doc/198715
ER -
References
top- [1] ADMATI A.R. et PFLEIDERER P. (1988) " A theory of intraday patterns : volume and price variability«", Review of Financial Studies, v1(1), p. 3-40.
- [2] BERRY T.D. et HOWE K.M. (1994) " Public information arrival", Journal of Finance, v49(4), p. 1331-1346.
- [3] BIAIS B., FOUCAULT T. et HILLION P. (1997) Microstructure des marchés financiers : institutions, modèles et tests empiriques, Presses Universitaires de France.
- [4] BIAIS B., HILLION P. et SPATT C. (1995) " An empirical analysis of the limit order book and the order flow in the Paris Bourse", Journal of Finance, v50(5), p. 1655-1689. MR1381518
- [5] EASLEY D. et O'HARA M. (1987) " Price, trade size and information in securities markets", Journal of Financial Economics, v19(1), p. 69-90.
- [6] FOSTER F.D. et VISWANATHAN S. (1993) " The effect of public information and competition on trading volume and price volatility", Review of Financial Studies, v6(l), p. 23-56.
- [7] GEORGE T.J., KAUL G. et NIMALENDRAN M. (1991) " Estimation of the bid-ask spread and its components : a new approach", Review of Financial Studies, v4(4), p. 623-656.
- [8] GLOSTEN L.R. (1987) " Components of the bid-ask spread and the statistical properties of transaction prices", Journal of Finance, v42(5), p. 1293-1307. MR919477
- [9] GLOSTEN L.R. et MILGROM P.R. (1985) " Bid, ask and transaction prices in a specialist market with heterogeneously informed traders", Journal of Financial Economics, v14(l), p. 71-100.
- [10] GRANGER C.W.J. (1969) " Investigating causal relations by econometric models and cross-spectral methods", Econometrica, v37(3), p. 424-438.
- [11] HAMON J. et JACQUILLAT B. (1992) Le marché français des actions : études empiriques 1977-1991, Presses Universitaires de France.
- [12] HASBROUCK J. (1988) " Trades, quotes, inventories and information", Journal of Financial Economics, v22(2), p. 229-252.
- [13] HASBROUCK J. ( 1991a) " Measuring the information content of stock trades", Journal of Finance, v46(l), p. 179-207.
- [14] HASBROUCK J. ( 1991b) " The summary informativeness of stock trades : an econometric analysis", Review of Financial Studies, v4(3), p. 571-595.
- [15] JAIN P.C. et JOH G.H. (1988) " The dependence between hourly prices and trading volume", Journal of Financial and Quantitative Analysis, v23(3), p. 269-284.
- [16] KARPOFF J.M. (1987) " The relation between price changes and trading volume : a survey", Journal of Financial and Quantitative Analysis, v22(l), p. 109-126.
- [17] KYLE A.S. (1985) " Continuous auctions and insider trading", Econometrica, v53(6), p. 1315-1335. Zbl0571.90010
- [18] LEE C.M.C. et READY M.J. (1991) " Inferring trade direction from intraday data", Journal of Finance, v46(2), p. 733-746. MR1090174
- [19] MCINISH T.H. et WOOD R.A. (1992) " An analysis of intraday patterns in bid-ask spreads for NYSE stocks", Journal of Finance, v47(2), p. 753-764.
- [20] ROLL R. (1984) " A simple implicit measure of the effective bid-ask spread in an efficient market", Journal of Finance, v39(4), p. 1127-1139.
- [21] ROOMANS M. (1993) " Price Movements in securities markets : an empirical investigation of serial covariance models of the spread", Working paper (The Wharton School, University of Pennsylvania).
- [22] STOLL H.R. (1989) " Inferring the components of the bid-ask spread : theory and empirical tests", Journal of Finance, v44(l), p. 115-134.
- [23] VERRECCHIA R.E. (1981) " On the relationship between volume reaction and consensus of investors : implications for interpreting tests of information content", Journal of Accounting Research, v19(1), p. 271-283.
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.