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Volumn 22, Issue 1, 1999, Pages 47-67

Liquidity and maturity effects around news releases

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EID: 0002266698     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1999.tb00714.x     Document Type: Article
Times cited : (19)

References (14)
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  • 3
    • 0031499450 scopus 로고    scopus 로고
    • The impact of market specific information on return variance in an illiquid market
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    • Christie-David, R.1    Koch, T.2
  • 4
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    • A comparative study of tests for homogeneity of variances, with applications to the outer continental shelf bidding data
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    • Conover, W.1    Johnson, M.2    Johnson, M.3
  • 5
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    • A re-examination of the traditional hypotheses about the term structure of interest rates
    • Cox, J. C., J. E. Ingersoll Jr., and S. A. Ross, 1985, A re-examination of the traditional hypotheses about the term structure of interest rates, Econometrica 53, 363–84.
    • (1985) Econometrica , vol.53 , pp. 363-384
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 6
    • 84986408962 scopus 로고
    • The dynamics of exchange rate volatility: A multivariate latent factor ARCH model
    • Diebold, F. X. and M. Nerlove, 1989, The dynamics of exchange rate volatility: A multivariate latent factor ARCH model, Journal of Applied Econometrics 4, 1–21.
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    • Diebold, F.X.1    Nerlove, M.2
  • 7
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    • How markets process information: News releases and volatility
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    • Ederington, L.H.1    Lee, J.H.2
  • 10
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    • Liquidity and market structure
    • Grossman, S. and M. Miller, 1988, Liquidity and market structure, Journal of Finance 43, 617–37.
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    • Grossman, S.1    Miller, M.2
  • 11
    • 0003139708 scopus 로고
    • Robust tests for the equality of variances
    • I. Oldkin, ed., Stanford University Press, Palo Alto, CA
    • Levene, H., 1960, Robust tests for the equality of variances, in I. Oldkin, ed.: Contributions to Probability and Statistics (Stanford University Press, Palo Alto, CA).
    • (1960) Contributions to Probability and Statistics
    • Levene, H.1
  • 12
    • 84977734958 scopus 로고
    • An examination of stock market return volatility during overnight and intraday periods, 1964–1989
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  • 13
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    • Volatility increases subsequent to stock splits; An empirical aberration
    • Ohlson, J. A. and S. H. Penman, 1985, Volatility increases subsequent to stock splits; An empirical aberration, Journal of Financial Economics 14, 251–66.
    • (1985) Journal of Financial Economics , vol.14 , pp. 251-266
    • Ohlson, J.A.1    Penman, S.H.2
  • 14
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