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Do demand curves for stocks slope down? : new evidence from a unique event in India
Parthasarathy, Srikanth - In: Afro-Asian Journal of Finance and Accounting : AAJFA 11 (2021) 4, pp. 561-582
Persistent link: https://www.econbiz.de/10012797851
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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/10003304236
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Price and trading volume reactions to index constitution changes : the Australian evidence
Qiu, Mei; Pinfold, John F. - 2005
Persistent link: https://www.econbiz.de/10003332236
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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
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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
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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
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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
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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
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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
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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