What drives intraday reversal? Illiquidity or liquidity oversupply?

DOI10.1016/J.JEDC.2022.104313MaRDI QIDQ2115973zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

liquidityChinese marketintraday reversal

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(2)

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

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