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Title: Which trade sizes move prices on the Singapore Stock Exchange?
Authors: Liu, Jia
Foo, Yi Kim
Oh, Eline Hwee Yin
Keywords: DRNTU::Business::Finance::Stock exchanges
Issue Date: 2008
Abstract: 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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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