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Short-term market reaction after extreme price changes of liquid stocks
16 references·10 citing·47 second hop
Short-term market reaction after extreme price changes of liquid stocks (2006)Short-term market reaction after extreme …Institutional Investors and Stock Market Volatility (2006)Institutional Investors and S…Statistical theory of the continuous double auction (2003)Statistical theory of the con…More statistical properties of order books and price impact (2003)More statistical properties o…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…Market efficiency in real time (2002)Market efficiency in real timeStatistical properties of the volatility of price fluctuations (1999)Statistical properties of the…The Short-Run Dynamics of the Price Adjustment to New Information (1995)The Short-Run Dynamics of the…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities (1995)Market Structure and the Intr…Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance (1994)Stock Returns Following Large…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…The Reversal of Large Stock-Price Decreases (1991)The Reversal of Large Stock-P…What Moves Stock Prices? (1988)What Moves Stock Prices?Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…The effects of overnight events on daytime trading sessions (2022)The effects of overnight even…Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both (2022)Intraday return predictabilit…Graph-based stock correlation and prediction for high-frequency trading systems (2021)Graph-based stock correlation…The prevalence of price overreactions in the cryptocurrency market (2020)The prevalence of price overr…Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects (2020)Forecasting stock volatility …The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis (2017)The intraday directional pred…The fine-structure of volatility feedback I: Multi-scale self-reflexivity (2014)The fine-structure of volatil…Trading networks, abnormal motifs and stock manipulation (2013)Trading networks, abnormal mo…Do product innovation and news about the R&D process produce large price changes and overreaction? The case of pharmaceutical stock prices (2011)Do product innovation and new…Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws (2010)Market dynamics immediately b…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Cross-correlations between volume change and price change (2009)Physical approach to complex systems (2012)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Sentiment During Recessions (2012)Théorie de la spéculation (1900)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Power Laws in Economics and Finance (2009)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)What really causes large price changes? (2004)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Empirical properties of asset returns: stylized facts and statistical issues (2001)Econophysics review: I. Empirical facts (2011)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Prospect Theory: An Analysis of Decision under Risk (1979)Continuous Auctions and Insider Trading (1985)Prospect theory: An analysis of decision under risk (1988)High-frequency trading in a limit order book (2008)Colloquium : Statistical mechanics of money, wealth, and income (2009)Stock Market Structure and Volatility (1990)Predicting stock market volatility: A new measure (1995)Trade Size and Components of the Bid-Ask Spread (1995)
this work references cited by second hop

References

  • 1985Does the Stock Market Overreact?7,569 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 2006Institutional Investors and Stock Market Volatility539 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2002Market efficiency in real time342 cited
  • 1995Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities325 cited
  • 1994Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance306 cited
  • 1995The Short-Run Dynamics of the Price Adjustment to New Information297 cited
  • 2003More statistical properties of order books and price impact289 cited
  • 1991

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The Reversal of Large Stock-Price Decreases
283 cited

Cited by

  • 2010Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws75 cited
  • 2021Graph-based stock correlation and prediction for high-frequency trading systems68 cited
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  • 2014The fine-structure of volatility feedback I: Multi-scale self-reflexivity49 cited
  • 2020Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects39 cited
  • 2022Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both33 cited
  • 2013Trading networks, abnormal motifs and stock manipulation30 cited
  • 2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis27 cited
  • 2011Do product innovation and news about the R&D process produce large price changes and overreaction? The case of pharmaceutical stock prices25 cited
  • 2022The effects of overnight events on daytime trading sessions22 cited