Price reversals versus price continuations: the transitory price effects of futures trading extension on the underlying stock market
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DOI: 10.1007/s11156-009-0108-0
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References listed on IDEAS
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Cited by:
- Alex Frino & Andrew Lepone & Grace Lepone, 2019. "Price Impact of Corporate Bond Trading: Evidence from the Australian Securities Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-22, September.
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More about this item
Keywords
Return correlations; Variance ratio; Price reversals; Price continuations; Transitory price changes; G14; G15;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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