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The makings of an information leader : the intraday price discovery process for individual stocks in the DJIA

Simpson, Marc W.; Moreno, Jose F.; Ozuna, Teofilo - In: Review of quantitative finance and accounting 38 (2012) 3, pp. 347-365

Persistent link: https://www.econbiz.de/10009532193

The relation between relative order imbalance and intraday futures returns : an application of the quantile regression model of Taiwan

Chang, Chiao-yi; Shie, Fu-shuen - In: Emerging markets finance & trade : a journal of the … 47 (2011) 3, pp. 69-87

Persistent link: https://www.econbiz.de/10009313728

The effects of sovereign rating drifts on financial return distributions : evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20

Persistent link: https://www.econbiz.de/10010520405

The response of intraday ATX returns to U.S. macroeconomic news

Gurgul, Henryk; Wójtowicz, Tomasz - In: Finance a úvěr 65 (2015) 3, pp. 230-253

Persistent link: https://www.econbiz.de/10010532128

Calculating and comparing security returns is harder than you think : a comparison between logarithmic and simple returns

Hudson, Robert; Gregoriou, Andros - In: International review of financial analysis 38 (2015), pp. 151-162

Persistent link: https://www.econbiz.de/10011337618

Do DOW returns really influence the intraday Spanish stock market behavior?

Miralles-Quirós, José Luis; Daza-Izquierdo, Julio - In: Research in international business and finance 33 (2015), pp. 99-126

Persistent link: https://www.econbiz.de/10011325882

The impact of macroeconomic news on Polish and Czech government bond markets

Hausenblas, Václav; Pištora, Vojtěch - 2015

We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under...

Persistent link: https://www.econbiz.de/10010529892

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206

Persistent link: https://www.econbiz.de/10010530243

An empirical analysis of the downside risk-return trade-off at daily frequency

Sévi, Benoît - In: Economic modelling 31 (2013), pp. 189-197

Persistent link: https://www.econbiz.de/10009729143

Testing intraday volatility spillovers in Turkish capital markets : evidence from ISE

Okur, Mustafa; Cevik, Emrah I. - In: Economic research 26 (2013) 3, pp. 99-116

Persistent link: https://www.econbiz.de/10010197040

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