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| Author: | Cushing, D. Madhavan, A. |
| Title: | Stock returns and trading at the close |
| Journal: | Journal of Financial Markets
2000 : FEB, VOL. 3:1, p. 45-67 |
| Index terms: | Stock markets Prices Stock returns Volatility |
| Freeterms: | Trading Imbalances |
| Language: | eng |
| Abstract: | This paper analyzes stock returns at the close across the stocks of the Russell 1000 using a. transaction-level data for the period from June 1997 to July 1998, and b. the complete record of all market-on-close (MOC) order imbalance indications. The last 5 min of the trading day explains a disproportionate fraction of the variation in daily returns, consistent with the hypothesis that institutional trading interest induces a common component to stock returns at the end of the day. This phenomenon reflects higher demand for immediacy in the closing period. This paper finds systematic return reversals following order imbalance publications consistent with temporary price pressure related to liquidity trading. |
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