Kang, Junqing; Lin, Shen; Xiong, Xiong - 2021
Previous studies of the U.S. market regard short-term reversal as compensation for liquidity provision. However, we … find that intraday reversal has no significant dependence on stock liquidity for the Chinese market. Hence, based on a … pressure. The empirical results confirm this liquidity oversupply explanation. The negative correlation between previous …