What drives intraday reversal? Illiquidity or liquidity oversupply?

DOI10.1016/J.JEDC.2022.104313OpenAlexW4225714436MaRDI QIDQ2115973FDOQ2115973

Authors: Yanyan Li 

Publication date: 15 March 2022

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104313

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zbMATH Keywords

liquidityChinese marketintraday reversal

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Hypothesis Testing with Efficient Method of Moments Estimation
• Continuous Auctions and Insider Trading
• The time cost of information in financial markets
• Investor overconfidence and the security market line: new evidence from China

Cited In (2)

• Hot trading and price stability under media supervision in the Chinese stock market
• Large stock price changes: volume or liquidity?

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