Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks
Year of publication: |
2014
|
---|---|
Authors: | Boudt, Kris ; Petitjean, Mikael |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 17.2014, p. 121-149
|
Subject: | High-frequency data | Liquidity | News | Price jumps | Volatility | Volatilität | Börsenkurs | Share price | Ankündigungseffekt | Announcement effect | Liquidität | Schätzung | Estimation | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
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