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Existence of price pressures surrounding annual changes in the "dogs of the dow" portfolio

Lin, Eric C.; Kuhle, James L.; Xu, Helen - In: Research in finance 34 (2018), pp. 41-56

Persistent link: https://www.econbiz.de/10011956418

Scaling laws in stock markets : an analysis of prices and volumes

Bianchi, Sergio; Pianese, Augusto - In: Mathematical and statistical methods in insurance and …, (pp. 35-42). 2008

Persistent link: https://www.econbiz.de/10003837054

Information costs and liquidity effects from changes in the FTSE 100 List

Gregoriou, Andros; Ioannidis, Christos - In: The European journal of finance 12 (2006) 4, pp. 347-360

Persistent link: https://www.econbiz.de/10003338142

An empirical model of daily highs and lows

Cheung, Yin-Wong (contributor) - 2006

We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...

Persistent link: https://www.econbiz.de/10003301373

Intraday volume : volatility relation of the DOW : a behavioral interpretation

Darrat, Ali F.; Rahman, Shafiqur; Zhong, Maosen - In: Advances in quantitative analysis of finance and … 6 (2008), pp. 117-125

Persistent link: https://www.econbiz.de/10003733858

An empirical model of daily highs and lows

Cheung, Yin-Wong - In: International journal of finance & economics : IJFE 12 (2007) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10003416321

Time and frequency relationship between household investors' sentiment index and US industry stock returns

Khan, Muhammad Asif; Hernandez, Jose Arreola; Shahzad, … - In: Finance research letters 36 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012483967

The US stock market at sector level : inflation news, 1990-2013

Jareño, Francisco; Tolentino, Marta; González Pérez, … - In: Applied econometrics and international development 18 (2018) 1, pp. 71-86

Persistent link: https://www.econbiz.de/10012000540

Impact of US macroeconomic news announcements on intraday causalities on selected European stock markets

Gurgul, Henryk; Lach, Łukasz; Wójtowicz, Tomasz - In: Finance a úvěr 66 (2016) 5, pp. 405-425

Persistent link: https://www.econbiz.de/10011582475

Trading in option contracts before large price changes : a comparative study of US and UK markets

Galariotis, Emilios; Rong, Wu; Spyrou, Spyros I. - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10010463014

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