Does program trading contribute to excess comovement of stock returns?
Mingyi Li, Xiangkang Yin, Jing Zhao
| Year of publication: |
2020
|
|---|---|
| Authors: | Li, Mingyi ; Yin, Xiangkang ; Zhao, Jing |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 59.2020, p. 257-277
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| Subject: | Excess return comovement | Habitat investing | Program trading | Return reversal | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2020.11.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012437986