We acknowledge the Securities Industry Research Centre of Asia-Pacific (SIRCA) for providing data. We also acknowledge the helpful comments provided by the anonymous reviewer, the participants at the UWA Business School Accounting and Finance Research Seminar and the FIRN conference on Financial Crises: Causes, Characteristics & Effects.
Special Issue Article
Order size, order imbalance and the volatility–volume relation in a bull versus a bear market
Version of Record online: 25 APR 2011
© 2011 The Authors. Accounting and Finance © 2011 AFAANZ
Accounting & Finance
Special Issue: Global Financial Crisis
Volume 52, Issue 1, pages 145–163, March 2012
How to Cite
Wee, M. and Yang, J. W. (2012), Order size, order imbalance and the volatility–volume relation in a bull versus a bear market. Accounting & Finance, 52: 145–163. doi: 10.1111/j.1467-629X.2011.00420.x
- Issue online: 16 JAN 2012
- Version of Record online: 25 APR 2011
- Received 24 October 2009; accepted 23 February 2011 by Robert Faff (Editor).
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