search query: @author Hwang, C-Y. / total: 1
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| Author: | George, T. J. Hwang, C-Y. |
| Title: | Endogenous market statistics and security pricing: An empirical investigation. |
| Journal: | Journal of Financial Markets
1998 : OCT, VOL.1:3-4, p. 285-319 |
| Index terms: | Stock markets Financial market trading |
| Language: | eng |
| Abstract: | The authors examine the degree to which the history of daytime and overnight price changes and order flow affects estimates of traders' beliefs about future security price changes. Estimates indicate that forecasts of the permanent component of price changes occuring after the open of trading are significantly related to past price changes and order flow. The results are consistent with models of technical analysis, and models in which the process of trading facilitates price discovery. |
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