New evidence on the price and liquidity effects of the FTSE 100 index revisions

International Review of Financial Analysis

Volumn 16, Issue 3, 2007, Pages 223-241

  Mazouz, Khelifa ^a   Saadouni, Bharim ^a  

^a ASTON UNIVERSITY   (United Kingdom)

Author keywords

GARCH(1,1); Index revisions; Parameter stationarity; Price and liquidity

Indexed keywords

EID: 34249714855     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2006.11.001     Document Type: Article

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