Kudryavtsev, Andrey - In: European financial and accounting journal : EFAJ 10 (2015) 1, pp. 5-17
In the present study, I explore interday correlations between open-to-close and opening stock returns. Employing intraday price data on all the stocks that were S&P 500 Index constituents during the period from 1993 to 2013, I find that stock returns in opening trading sessions systematically...
