KUDRYAVTSEV, Andrey - In: Theoretical and Applied Economics XVIII(2013) (2013) 11(588), pp. 53-72
In present study, I make an effort to shed light on the actual mechanism of autocorrelations in individual stocks' opening returns. I analyze intraday price data on thirty stocks currently making up the Dow Jones Industrial Index. Employing the sample average and the sample median of opening...