Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing
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References listed on IDEAS
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Citations
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- Thomas George & Chuan-Yang Hwang & Tavy Ronen, 2010. "Bootstrap refinements in tests of microstructure frictions," Review of Quantitative Finance and Accounting, Springer, vol. 35(1), pages 47-70, July.
- Kallinterakis, Vasileios & Karaa, Rabaa, 2023. "From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading," International Review of Financial Analysis, Elsevier, vol. 85(C).
- Joao Dionisio Monteiro & Jose Luis Miralles-Quiros & Jose Ramos Pires Manso, 2018. "Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(1), pages 71-98, February.
- Chang, Rosita P. & Rhee, S. Ghon & Stone, Gregory R. & Tang, Ning, 2008. "How does the call market method affect price efficiency? Evidence from the Singapore Stock Market," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2205-2219, October.
- Ana-Maria Fuertes & Jose Olmo, 2016. "On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?," JRFM, MDPI, vol. 9(3), pages 1-20, September.
- Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012.
"Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(1), pages 23-44, March.
- De Gooijer, J. & Diks, C.G.H. & Gatarek, L., 2009. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," CeNDEF Working Papers 09-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Jan G. de Gooijer & Cees G.H. Diks & Lukasz T. Gatarek, 2009. "Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Tinbergen Institute Discussion Papers 09-107/4, Tinbergen Institute.
- Rodriguez, E. & Aguilar-Cornejo, M. & Femat, R. & Alvarez-Ramirez, J., 2014. "US stock market efficiency over weekly, monthly, quarterly and yearly time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 554-564.
- Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2020. "Sequential forecasting of downside extreme risk during overnight and daytime: Evidence from the Chinese Stock Market☆," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
- Hu, Shing-yang, 2006. "A simple estimate of noise and its determinant in a call auction market," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 348-362.
- Gelman, Sergey & Kliger, Doron, 2021. "The effect of time-induced stress on financial decision making in real markets: The case of traffic congestion," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 814-841.
- Menkveld, Albert J. & Wang, Ting, 2013. "How do designated market makers create value for small-caps?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 571-603.
- Alex Boulatov & Bart Taub, 2014. "Liquidity and the marginal value of information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(2), pages 307-334, February.
- Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
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