An analysis of interday and intraday return volatility - evidence from the Korea Stock Exchange

Author:

Choe Hyuk,Sik Shin Hung

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference15 articles.

1. Dealership market: Market-making with inventory;Amihud;Journal of Financial Economics,1980

2. Trading mechanisms and stock returns: An empirical investigation;Amihud;Journal of Finance,1987

3. Volatility, efficiency, and trading: Evidence from the Japanese stock market;Amihud;Journal of Finance,1991

4. Private information, trading volume, and stock-return variances;Barclay;Review of Financial Studies,1990

5. Exogenous demand shocks and trading volume: A model of intraday bids and asks;Brock,1990

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