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Volumn 20, Issue 12, 2010, Pages 983-987

Order imbalances from after-hours trading

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC ACTIVITY; PRICE DYNAMICS; STOCK MARKET; TRADE;

EID: 77953628930     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603101003724315     Document Type: Article
Times cited : (2)

References (13)
  • 3
    • 84977706729 scopus 로고
    • Order imbalance and stock price movements on 19 and 20 October 1987
    • Blume, M. E., Mackinlay, A. C. and Terker, B. (1989) Order imbalance and stock price movements on 19 and 20 October 1987, Journal of Finance, 44, 827-48.
    • (1989) Journal of Finance , vol.44 , pp. 827-848
    • Blume, M.E.1    Mackinlay, A.C.2    Terker, B.3
  • 4
    • 2442695500 scopus 로고    scopus 로고
    • Order imbalance and individual stock returns: Theory and evidence
    • Chordia, T. and Subrahmanyam, A. (2004) Order imbalance and individual stock returns: theory and evidence, Journal of Financial Economics, 72, 485-518.
    • (2004) Journal of Financial Economics , vol.72 , pp. 485-518
    • Chordia, T.1    Subrahmanyam, A.2
  • 5
    • 0000351727 scopus 로고
    • Investigating causal relations by econometric models and cross-spectral methods
    • Granger, C. W. (1969) Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37, 424-38.
    • (1969) Econometrica , vol.37 , pp. 424-438
    • Granger, C.W.1
  • 9
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-46.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.1    Perron, P.2
  • 10
    • 19044371729 scopus 로고
    • Testing for unit roots in autoregressive-moving average models with unknown order
    • Said, S. and Dickey, D. (1984) Testing for unit roots in autoregressive-moving average models with unknown order, Biometrika, 71, 599-607.
    • (1984) Biometrika , vol.71 , pp. 599-607
    • Said, S.1    Dickey, D.2
  • 11
    • 0001663582 scopus 로고    scopus 로고
    • Price pressure and the role of institutional investors in closed-end funds
    • Sias, R. (1997) Price pressure and the role of institutional investors in closed-end funds, Journal of Financial Research, 20, 211-29.
    • (1997) Journal of Financial Research , vol.20 , pp. 211-229
    • Sias, R.1
  • 12
    • 11544310401 scopus 로고    scopus 로고
    • Is after-hours trading informative?
    • Ulibarri, C. A. (1998) Is after-hours trading informative?, Journal of Futures Market, 18, 563-79.
    • (1998) Journal of Futures Market , vol.18 , pp. 563-579
    • Ulibarri, C.A.1
  • 13
    • 0006818286 scopus 로고    scopus 로고
    • Mutual fund herding and the impact on stock prices
    • Wermers, R. (1999) Mutual fund herding and the impact on stock prices, Journal of Finance, 54, 581-622.
    • (1999) Journal of Finance , vol.54 , pp. 581-622
    • Wermers, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.