An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data

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An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data

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Summary, etc.：: We examine the existence and the forms of the magnet effect using transaction files and limit order book of the Korea Stock Exchange. A significant ma...

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Material Type: 文書・図像類
Title: An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data
Author/Editor: Du, Yan
Liu, Qianqiu
Rhee, S. Ghon
Author Heading: Du, Yan
Liu, Qianqiu
Rhee, S. Ghon
Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
Publication Date: 2006-03
Publication Date (W3CDTF): 2006-03
Contributor: Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University
Text Language Code: eng
Subject Heading: Price Limit
Magnet Effect
Rate of Return
Trading Volume
Volatility
Order Flow
Order Type
Price Trajectory
Korea Stock Exchange
Target Audience: 一般
Note (General): Current Draft: June 2005
Format (IMT): application/pdf
Source: comment：fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/13490/wp2005-17a.pdf
Access Restrictions: インターネット公開
Related Material (URI): URI
http://cei.ier.hit-u.ac.jp/index.html
Periodical Title: CEI Working Paper Series ; No. 2005-17
Periodical Title (NCID): AA11590659
https://ci.nii.ac.jp/ncid/AA11590659
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources