| 000 -LEADER |
|---|
| fixed length control field |
01438nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20230911120351.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
230911b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
RYU, Doojin |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Spread and depth adjustment process |
| Remainder of title |
an analysis of high-quality microstructure data |
| 264 ## - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
New York |
| Name of producer, publisher, distributor, manufacturer |
Taylor & Francis |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013 |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Applied Economics Letters |
| Volume/sequential designation |
Volume , number , |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
This study examines liquidity dynamics by observing changes in bid-ask spreads and market depths in response to new information and trading activities. By analysing high-quality data from the KOSPI200 futures market, we determine that spread and depth effectively adjust to new information and trading activities. Our empirical results indicate that the size of the equilibrium spread is positively related to trade frequency, the degree of informed trading, volatility and the relative portions of individual trades, and negatively related to trade size. We also find that equilibrium depth is positively associated with the trade frequency and volatility, and negatively associated with the informed trading. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
spreads |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
depths |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
informed trading |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
https://doi.org/10.1080/13504851.2013.828401 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |