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ArticleAutocorrelation and partial price adjustment

Robert M. Anderson2013

Article2013

Autocorrelation and partial price adjustment

Robert M. Anderson · Kyong Shik Eom · Sang Buhm Hahn

31 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 2012The Econometrics of Financial Markets 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1989An Econometric Analysis of Nonsynchronous Trading 1987Trading Mechanisms and Stock Returns: An Empirical Investigation 2000Trading Volume and Cross‐Autocorrelations in Stock Returns 2002Dynamic Volume-Return Relation of Individual Stocks

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2016Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models 2016Time-varying return predictability in South Asian equity markets 2012Dark Trading and Price Discovery

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Year2013

Typearticle

Published2013-09-05

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations31

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2013.08.003

openalex_workW1978485675

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