Does Low Price Synchronicity Mean More Informativeness in Stock Prices? Empirical Evidence on Information Integration Speed in the Chinese Stock Market-Reference-Cited by-同舟云学术

Does Low Price Synchronicity Mean More Informativeness in Stock Prices? Empirical Evidence on Information Integration Speed in the Chinese Stock Market

Published:2018-12-21 Issue:5 Volume:55 Page:1014-1033
ISSN:1540-496X
Container-title:Emerging Markets Finance and Trade
language:en
Short-container-title:Emerging Markets Finance and Trade

Author:

Hu Yingyi¹^ORCID,Zhao Tiao²,Zhang Lin¹

Affiliation:

1. Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu, China

2. Invesco Capital Management, Houston, Texas, USA

Funder

Humanity and Social Science Fund of the Ministry of Education of China

Fundamental Research Funds for the Central Universities of Southwestern University of Finance and Economics

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1540496X.2018.1528973

Reference51 articles.

1. A Theory of Intraday Patterns: Volume and Price Variability

2. Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation

3. Illiquidity and stock returns: cross-section and time-series effects

4. Working Orders in Limit Order Markets and Floor Exchanges

5. How Noise Trading Affects Markets: An Experimental Analysis

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