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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.

Item type: Article
ID code: 6923
Keywords: demand, econometrics, stocks, shares, finance, Finance, Economic Theory
Subjects: Social Sciences > Finance
Social Sciences > Economic Theory
Department: Strathclyde Business School > Economics
Related URLs:
    Depositing user: Strathprints Administrator
    Date Deposited: 30 Sep 2008
    Last modified: 12 Mar 2012 10:46
    URI: http://strathprints.strath.ac.uk/id/eprint/6923

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