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Intraday return spillovers and its variations across trading sessions

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  • Chia-Ching Chang
  • Sheng-Syan Chen
  • Robin Chou
  • Chin-Wen Hsin

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  • Chia-Ching Chang & Sheng-Syan Chen & Robin Chou & Chin-Wen Hsin, 2011. "Intraday return spillovers and its variations across trading sessions," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 355-390, April.
    • Handle: RePEc:kap:rqfnac:v:36:y:2011:i:3:p:355-390
    DOI: 10.1007/s11156-010-0181-4
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    Cited by:

    1. Hachmi Ben Ameur & Fredj Jawadi & Abdoulkarim Idi Cheffou & Wael Louhichi, 2018. "Measurement errors in stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 287-306, March.
    2. Edward Chow & Chung-Wen Hung & Christine Liu & Cheng-Yi Shiu, 2013. "Expiration day effects and market manipulation: evidence from Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 441-462, October.

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    More about this item

    Keywords

    Aggregate shock model; Intraday variation; Spillover effect; G10; G14;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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