Dynamic autocorrelation of intraday stock returns
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DOI: 10.1016/j.frl.2016.10.008
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More about this item
Keywords
Return autocorrelation; Informed trading; Liquidity trading;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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