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Electronic version of an article published as Review of Pacific Basin Financial Markets and Policies, Volume 10, Issue 4, 2007, pp. 519-540, Article DOI: 10.1142/S0219091507001185 Copyright World Scientific Publishing Company www.worldscinet.com/rpbfmp
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into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
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