Price reversals versus price continuations: the transitory price effects of futures trading extension on the underlying stock market
Year of publication: |
2009
|
---|---|
Authors: | Chan, Yue-cheong ; Cheng, Louis |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 33.2009, 2, p. 159-176
|
Publisher: |
Springer |
Subject: | Return correlations | Variance ratio | Price reversals | Price continuations | Transitory price changes |
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