The frequency of one-day abnormal returns and price fluctuations in the forex
Author:
Affiliation:
1. Department of Economics and Finance, Brunel University, London, United Kingdom
2. Department of International Economic Relations, Sumy State University, Sumy, Ukraine
3. Chair of Economic Cybernetics, Sumy State University, Sumy, Ukraine
Funder
Ministry of Education and Science of Ukraine
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/15140326.2021.1953914
Reference43 articles.
1. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
2. Angelovska, J. (2016). Large share price movements, reasons and market reaction. Journal of Contemporary Management Issues, 21, 1–17.
3. Price Reversals, Bid-Ask Spreads, and Market Efficiency
4. A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1
5. Does Bitcoin follow the hypothesis of efficient market?
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