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Explaining volatility and serial correlation in opening and closing returns: A study of the FT-30 components

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  • Chelley-Steeley, Patricia

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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 16 (2005)
Issue (Month): 1 (August)
Pages: 1-15

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Handle: RePEc:eee:glofin:v:16:y:2005:i:1:p:1-15

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Web page: http://www.elsevier.com/locate/inca/620162

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References

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  1. Ozenbas, Deniz & Schwartz, Robert A & Wood, Robert A, 2002. "Volatility in US and European Equity Markets: An Assessment of Market Quality," International Finance, Wiley Blackwell, Wiley Blackwell, vol. 5(3), pages 437-61, Winter.
  2. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, American Finance Association, vol. 46(1), pages 179-207, March.
  3. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, American Finance Association, vol. 42(3), pages 533-53, July.
  4. Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, American Finance Association, vol. 51(5), pages 1835-61, December.
  5. Cohen, Kalman J, et al, 1978. "The Returns Generation Process, Returns Variance, and the Effect of Thinness in Securities Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 33(1), pages 149-67, March.
  6. Ronen, Tavy, 1998. "Trading structure and overnight information: A natural experiment from the Tel-Aviv Stock Exchange," Journal of Banking & Finance, Elsevier, Elsevier, vol. 22(5), pages 489-512, May.
  7. Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1765-89, December.
  8. Amihud, Yakov & Mendelson, Haim & Murgia, Maurizio, 1990. "Stock market microstructure and return volatility : Evidence from Italy," Journal of Banking & Finance, Elsevier, Elsevier, vol. 14(2-3), pages 423-440, August.
  9. Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, American Finance Association, vol. 41(5), pages 1069-87, December.
  10. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
  11. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, American Finance Association, vol. 41(3), pages 529-43, July.
  12. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(1), pages 5-26, September.
  13. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 31-53, March.
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Cited by:
  1. Crystal Xiaobei Chen, 2012. "The anatomy of short sales and price adjustment: evidence from the Hong Kong stock market," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 8(3), pages 204-218.
  2. Lucey, Brian & Sevic, Aleksandar, 2010. "Investigating the determinants of banking coexceedances in Europe in the summer of 2008," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(3), pages 275-283, July.
  3. Robert Kelly, 2008. "Opening and Closing Asymmetry: Empirical Analysis from ISE Xetra," The Economic and Social Review, Economic and Social Studies, Economic and Social Studies, vol. 39(1), pages 55-78.

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