Jung, Woosung; Kang, Mhin - In: Journal of derivatives and quantitative studies 29 (2021) 3, pp. 190-214
This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price … in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion … pattern after 2000, but not before. This study also confirms that the mean reversion property is significantly reduced if the …