Market and price factors in transaction-to-transaction price change behaviour of common stocks

1 March 1974

journal article
research article
Published by Taylor & Francis in Applied Economics

Vol. 6 (1) , 45-58
https://doi.org/10.1080/00036847400000012

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

This publication has 4 references indexed in Scilit:

Common-Stock Transaction Sequences and the Random-Walk Model
Operations Research, 1971
Market Making and Reversal on the Stock Exchange
Journal of the American Statistical Association, 1966
THE RANDOM‐WALK HYPOTHESIS OF STOCK MARKET BEHAVIORa
Kyklos, 1964
Statistical Inference about Markov Chains
The Annals of Mathematical Statistics, 1957