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The Strathprints institutional repository is a digital archive of University of Strathclyde research outputs.

Strathprints serves world leading Open Access research by the University of Strathclyde, including research by the Strathclyde Institute of Pharmacy and Biomedical Sciences (SIPBS), where research centres such as the Industrial Biotechnology Innovation Centre (IBioIC), the Cancer Research UK Formulation Unit, SeaBioTech and the Centre for Biophotonics are based.

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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.