Does program trading contribute to excess comovement of stock returns?
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DOI: 10.1016/j.jempfin.2020.11.001
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Cited by:
- Liao, Yixin & Coakley, Jerry & Kellard, Neil, 2022. "Index tracking and beta arbitrage effects in comovement," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Do, Hung X. & Nguyen, Nhut H. & Nguyen, Quan M.P., 2022. "Multinationals and stock return comovement," Global Finance Journal, Elsevier, vol. 52(C).
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More about this item
Keywords
Program trading; Habitat investing; Excess return comovement; Return reversal;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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