Hostname: page-component-586b7cd67f-t7fkt Total loading time: 0 Render date: 2024-11-23T10:49:25.516Z Has data issue: false hasContentIssue false
  • English
  • Français

A Day-End Transaction Price Anomaly

Published online by Cambridge University Press:  06 April 2009

Lawrence Harris
Get access Rights & Permissions [Opens in a new window]

Extract

A large mean price change is observed on the last daily NYSE transaction. This suggests that closing prices may not consistently represent stock values. Transaction prices are studied to further characterize the day-end price rise and to determine whether it is due to any limited subsample of stocks or dates. The results indicate that the phenomenon is pervasive over most firms and days. Some evidence suggests that it is caused by a change in the frequency of ask prices at day-end.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 24 , Issue 1 , March 1989 , pp. 29 - 45
Copyright
Copyright © School of Business Administration, University of Washington 1989

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Ariel, R. A. “A Monthly Effect in Stock Returns.” Journal of Financial Economics, 18 (03 1987), 161–174.CrossRefGoogle Scholar
Ball, C. A.; Torous, W. A.; and Tschoegl, A. E.. “The Degree of Price Resolution: the Case of the Gold Market.” The Journal of Futures Markets, 5 (Spring 1985), 29–43.CrossRefGoogle Scholar
Coursey, D. L., and Dyl, E. A.. “Price Effects of Trading Interruptions in an Experimental Market.” Working Paper, Univ. of Wyoming (05 1985).Google Scholar
Forsythe, R.; Palfrey, T. R.; and Plott, C. R.. “Asset Valuation in an Experimental Market.” Econometrica, 50 (05 1982), 537–567.CrossRefGoogle Scholar
Forsythe, R.; Palfrey, T. R.; and Plott, C. R. “Futures Markets and Informational Efficiency: A Laboratory Examination.” Journal of Finance, 39 (09 1984), 955–981.CrossRefGoogle Scholar
French, K. R. “Stock Returns and the Weekend Effect.” Journal of Financial Economics, 8 (03 1980), 55–69.CrossRefGoogle Scholar
Gibbons, M. R., and Hess, P.. “Day of the Week Effects and Asset Returns.” Journal of Business, 54 (10 1981), 579–596.CrossRefGoogle Scholar
Harris, L. “A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns.” Journal of Financial Economics, 16 (05 1986), 99–117.CrossRefGoogle Scholar
Keim, D. B. “Size Related Anomalies and Stock Return Seasonality: Further Empirical Evidence.” Journal of Financial Economics, 12 (06 1983), 13–32.CrossRefGoogle Scholar
Niederhoffer, V. “Clustering of Stock Prices.” Operations Research, 13 (04 1965), 258–265.CrossRefGoogle Scholar
Niederhoffer, V. “A New Look at Clustering of Stock Prices.” Operations Research, 14 (04 1966), 309–313.Google Scholar
Plott, C. R., and Sunder, S.. “Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models.” Journal of Political Economy, 90 (08 1982), 663–698.CrossRefGoogle Scholar
Wood, R. A.; Mclnish, T.; and Ord, J. K.. “An Investigation of Transactions Data for NYSE Stocks.” Journal of Finance, 40 (06 1985), 723–739.CrossRefGoogle Scholar