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An event time study of the price reaction to large retail trades

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: The quarterly review of economics and finance : journal … 49 (2009) 2, pp. 617-632

Persistent link: https://www.econbiz.de/10003852644

International evidence on the relationship between trading volume and serial correlation in stock returns

Ngo, Thanh; Jory, Surendranath R. - In: Global journal of finance and banking issues 2 (2008) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10003853675

Detecting cumulative abnormal volume : a comparison of event study methods

Karafiath, Imre - In: Applied economics letters 16 (2009) 7/9, pp. 797-802

Persistent link: https://www.econbiz.de/10003855013

Intraday characteristics of stock price crashes

Ammann, Manuel; Kessler, Stephan - In: Applied financial economics 19 (2009) 13/15, pp. 1239-1255

Persistent link: https://www.econbiz.de/10003886042

Order imbalance, market returns and volatility : evidence from Thailand during the Asian crisis

Visaltanachoti, Nuttawat; Luo, Hang - In: Applied financial economics 19 (2009) 16/18, pp. 1391-1399

This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during Asian financial crisis using intraday data of 418 stocks traded on the Stock Exchange of Thailand (SET) from January 1996 to October 2003. The inverse relationship between the past...

Persistent link: https://www.econbiz.de/10003886203