What drives intraday reversal? Illiquidity or liquidity oversupply?

DOI10.1016/j.jedc.2022.104313OpenAlexW4225714436MaRDI QIDQ2115973

Yanyan Li

Publication date: 15 March 2022

Published in: Journal of Economic Dynamics \& 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)

Cites Work

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

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