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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

Price and volume effects associated with changes in the S&P 500 list : new evidence for the existence of price pressures

Harris, Lawrence; Gurel, Eitan - In: The journal of finance : the journal of the American … 41 (1986) 4, pp. 815-829

Persistent link: https://www.econbiz.de/10003567197

New evidence on the price and liquidity effects of the FTSE 100 index revisions

Mazouz, Khelifa; Saadouni, Bharim - In: International review of financial analysis 16 (2007) 3, pp. 223-241

Persistent link: https://www.econbiz.de/10003510451

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

The effects of index changes in the Spain stock market

Singh, Tarika; Mehta, Seema; Hoolani, Umesh - In: International journal of managerial and financial accounting 2 (2010/11) 3, pp. 305-325

Persistent link: https://www.econbiz.de/10009009360

Price and volume effects associated with scheduled changes in constituents of index : study of NIFTY index in India

Joshipura, Mayank; Janakiramanan, Sundaram - In: Afro-Asian Journal of Finance and Accounting : AAJFA 5 (2015) 1, pp. 21-36

Persistent link: https://www.econbiz.de/10011529413

Intraday volatility and volume in China's stock index and index futures markets

Nishimura, Yusaku; Sun, Bianxia - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 932-955

Persistent link: https://www.econbiz.de/10011471124

Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI

Azevedo, Alcino; Karim, Mohamad; Gregoriou, Andros; … - In: Journal of international financial markets, … 28 (2014), pp. 20-35

Persistent link: https://www.econbiz.de/10010411605

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

Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel

Freihube, Thorsten - 2004

Persistent link: https://www.econbiz.de/10002122262

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