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Autocorrelation and partial price adjustment
16 references·3 citing·43 second hop
Autocorrelation and partial price adjustment (2013)Autocorrelation and partial price adjustm…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…Dynamic Volume-Return Relation of Individual Stocks (2002)Dynamic Volume-Return Relatio…Trading Volume and Cross‐Autocorrelations in Stock Returns (2000)Trading Volume and Cross‐Auto…The Econometrics of Financial Markets (1998)The Econometrics of Financial…Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns (1996)Delayed Reaction to Good News…Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns (1995)Of Shepherds, Sheep, and the …A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns (1994)A Tale of Three Schools: Insi…Portfolio return autocorrelation (1993)Portfolio return autocorrelat…Investment Analysis and the Adjustment of Stock Prices to Common Information (1993)Investment Analysis and the A…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Nonsynchronous Security Trading and Market Index Autocorrelation (1987)Nonsynchronous Security Tradi…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Time-varying return predictability in South Asian equity markets (2016)Time-varying return predictab…Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models (2016)Stock return autocorrelations…Dark Trading and Price Discovery (2012)Dark Trading and Price Discov…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry Information Diffusion and the Lead-lag Effect in Stock Returns (2007)Market Segmentation and Cross‐predictability of Returns (2010)Forecasting Stock Returns (2013)The Behavior of Stock-Market Prices (1965)Asset pricing and the bid-ask spread (1986)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Trading Volume, Information Asymmetry, and Timing Information (2005)Does Public Financial News Resolve Asymmetric Information? (2010)All the News That's Fit to Reprint: Do Investors React to Stale Information? (2011)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Relation Between Price Changes and Trading Volume: A Survey (1987)When Are Contrarian Profits Due to Stock Market Overreaction? (1990)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)Short Selling and the Price Discovery Process (2012)International Stock Return Predictability: What Is the Role of the United States? (2013)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 2000Trading Volume and Cross‐Autocorrelations in Stock Returns721 cited
  • 2002Dynamic Volume-Return Relation of Individual Stocks689 cited
  • 1993Investment Analysis and the Adjustment of Stock Prices to Common Information640 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 1994A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns374 cited
  • 1995Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns331 cited
  • 1996Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns274 cited
  • 1993Portfolio return autocorrelation266 cited
  • 1998The Econometrics of Financial Markets239 cited

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  • 1987Nonsynchronous Security Trading and Market Index Autocorrelation198 cited
  • Cited by

    • 2016Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models28 cited
    • 2016Time-varying return predictability in South Asian equity markets26 cited
    • 2012Dark Trading and Price Discovery26 cited