Small trades and volatility increases after stock splits
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference48 articles.
1. A theory of intraday trading patterns: Volume and price variability;Admati;Review of Financial Studies,1988
2. Trading mechanisms and stock returns: An empirical investigation;Amihud;Journal of Finance,1987
3. Variance ratio statistics and high frequency data: Testing for changes in intraday volatility pattern;Anderson;Journal of Finance,2001
4. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrew;Econometrica,1991
5. When-issued shares, small traders, and the variance of returns around stock splits;Angel;Journal of Financial Research,2004
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1. Internet, noise trading and commodity futures prices;International Review of Economics & Finance;2014-09
2. Range Volatility: A Review of Models and Empirical Studies;Handbook of Financial Econometrics and Statistics;2014-08-09
3. The Specific Details of Trading Activity and Volatility Around Stock Splits;SSRN Electronic Journal;2014
4. Realized Volatility and Liquidity in the Indonesia Stock Exchange;SSRN Electronic Journal;2013
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