Trading Mechanisms and Stock Returns: An Empirical Investigation
Опубликовано на портале: 26-10-2007
Journal of Finance.
1987.
Vol. 42.
No. 3.
P. 533-553.
Тематические разделы:
This paper examines the effects of the mechanism by which securities are traded on
their price behavior. We compare the behavior of open-to-open and close-to-close
returns on NYSE stocks, given the differences in execution methods applied in the
opening and closing transactions. Opening returns are found to exhibit greater dispersion,
greater deviations from normality and a more negative and significant autocorrelation
pattern than closing returns. We study the effects of the bid-ask spread and the
price-adjustment process on the estimated return variances and covariances and discuss
the associated biases. We conclude that the trading mechanism has a significant effect
on stock price behavior.
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