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The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by University of Strathclyde researchers, including by researchers from the Department of Computer & Information Sciences involved in mathematically structured programming, similarity and metric search, computer security, software systems, combinatronics and digital health.

The Department also includes the iSchool Research Group, which performs leading research into socio-technical phenomena and topics such as information retrieval and information seeking behaviour.

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Downwards sloping demand curves for stock?

Levin, E.J. and Wright, R.E. (2006) Downwards sloping demand curves for stock? Studies in Economics and Finance, 23 (1). pp. 51-74. ISSN 1086-7376

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Abstract

The purpose of the analysis is to estimate price elasticities of demand for individual FTSE-100 stocks between 1 August 1994 and 31 July 1995. The slope of the demand curve is estimated using an econometric model and market makers' transactions data for specific stocks. This approach identifies observable unexpected shifts in the demand for a stock as unexpected changes in market makers' inventories. This approach is superior to event studies because it provides multiple observations that enable the slope of the demand curve to be quantified with sufficient confidence to calculate the price elasticity of demand for the stock.