search query: @author Levin, E. J. / total: 2
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| Author: | Levin, E. J. Wright, R. E. |
| Title: | Estimating the price elasticity of demand in the London stock market |
| Journal: | European Journal of Finance
2002 : JUN, VOL 8:2, p. 222-237 |
| Index terms: | DEMAND STOCKS MARKETS |
| Language: | eng |
| Abstract: | The hypothesis that demand curves for individual stocks slope downwards is typically investigated by empirical analysis of stock price movements following events that cause shifts in demand or supply. However, it is difficult to attribute observed price movements between downward sloping demand curves and information conveyed by the event. In this paper an econometric approach, based on market-maker response to unexpected changes in inventory, is used to separate out the slope of the demand curve from information effects and estimate the slopes of the demand curves for twenty stocks included in the Financial Times-Stock Exchange 100 Share Index (FTSE100). |
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