Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market
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Cited by:
- Säfvenblad, Patrik, 1997. "Lead-Lag Effects When Prices Reveal Cross-Security Information," SSE/EFI Working Paper Series in Economics and Finance 189, Stockholm School of Economics.
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More about this item
Keywords
Multi-asset securities market; information aggregation; price precision; short-selling restriction; auction markets; index return autocorrelation; cross-autocorrelation; Paris Bourse; rational expectations equilibrium (REE);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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