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Determining security speed of adjustment coefficients

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  • Theobald, Michael
  • Yallup, Peter
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    File URL: http://www.sciencedirect.com/science/article/B6VHN-47429S1-1/2/291d606ef75e651631a67e7d1f0c3899
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 7 (2004)
    Issue (Month): 1 (January)
    Pages: 75-96

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    Handle: RePEc:eee:finmar:v:7:y:2004:i:1:p:75-96

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    Web page: http://www.elsevier.com/locate/finmar

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    References

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    1. Brisley, Neil & Theobald, Michael, 1996. " A Simple Measure of Price Adjustment Coefficients: A Correction," Journal of Finance, American Finance Association, vol. 51(1), pages 381-82, March.
    2. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    3. Theobald, Michael & Price, Vera, 1984. " Seasonality Estimation in Thin Markets," Journal of Finance, American Finance Association, vol. 39(2), pages 377-92, June.
    4. Jegadeesh, Narasimhan & Titman, Sheridan, 1995. "Overreaction, Delayed Reaction, and Contrarian Profits," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 973-93.
    5. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December.
    6. Damodaran, Aswath, 1993. " A Simple Measure of Price Adjustment Coefficients," Journal of Finance, American Finance Association, vol. 48(1), pages 387-400, March.
    7. Harrison Hong & Jeremy C. Stein, 1997. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets," NBER Working Papers 6324, National Bureau of Economic Research, Inc.
    8. Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
    9. Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998. "Investor Psychology and Security Market Under- and Overreactions," Journal of Finance, American Finance Association, vol. 53(6), pages 1839-1885, December.
    10. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    11. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October.
    12. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989. "When are contrarian profits due to stock market overreaction?," Working papers 3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    13. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    14. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, 08.
    15. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
    16. Theobald, Michael & Yallup, Peter, 1998. "Measuring cash-futures temporal effects in the UK using partial adjustment factors," Journal of Banking & Finance, Elsevier, vol. 22(2), pages 221-243, February.
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    Cited by:
    1. Chung, Kee H. & Chuwonganant, Chairat & Jiang, Jing, 2008. "The dynamics of quote adjustments," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2390-2400, November.
    2. Helder SebastiĆ£o, 2012. "The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery," GEMF Working Papers 2012-04, GEMF - Faculdade de Economia, Universidade de Coimbra.
    3. Jaehyung Choi, 2011. "Spontaneous symmetry breaking of arbitrage," Papers 1107.5122, arXiv.org, revised Apr 2012.
    4. Robert Kelly, 2008. "Opening and Closing Asymmetry: Empirical Analysis from ISE Xetra," The Economic and Social Review, Economic and Social Studies, vol. 39(1), pages 55-78.
    5. Eaves, James & Melvin, Michael & Mohapatra, Sandeep, 2008. "Excess demand and price formation during a Walrasian auction," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 533-548, June.
    6. Lim, Kian-Ping & Kim, Jae H., 2011. "Trade openness and the informational efficiency of emerging stock markets," Economic Modelling, Elsevier, vol. 28(5), pages 2228-2238, September.
    7. Darrat, Ali F. & Zhong, Maosen & Cheng, Louis T.W., 2007. "Intraday volume and volatility relations with and without public news," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2711-2729, September.
    8. Boulatov, Alex & Hatch, Brian C. & Johnson, Shane A. & Lei, Adam Y.C., 2009. "Dealer attention, the speed of quote adjustment to information, and net dealer revenue," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1531-1542, August.
    9. Choi, Jaehyung, 2012. "Spontaneous symmetry breaking of arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218.
    10. Helder SebastiĆ£o, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF - Faculdade de Economia, Universidade de Coimbra.
    11. Poshakwale, Sunil & Theobald, Michael, 2004. "Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 385-400, October.
    12. Theobald, Michael & Yallup, Peter, 2005. "Intradaily volatility and adjustment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 407-424, December.

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