Explaining volatility and serial correlation in opening and closing returns: A study of the FT-30 components
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- Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-89, December.
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- Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
- Amihud, Yakov & Mendelson, Haim & Murgia, Maurizio, 1990. "Stock market microstructure and return volatility : Evidence from Italy," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 423-440, August.
- Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-61, December.
- 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, vol. 5(3), pages 437-61, Winter.
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