search query: @author Amihud, Y. / total: 17
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| Author: | Amihud, Y. Mendelson, H. |
| Title: | Trading mechanisms and stock returns : an empirical investigation. |
| Journal: | Journal of Finance
1987 : JUL, VOL. 42:3, p. 533-553 |
| Index terms: | STOCK MARKETS SHARE PRICES TRADE POLICY |
| Language: | eng |
| Abstract: | The effects of trading methods on stock price behavior are examined. The behavior of open-to-open and close-to-close returns on NYSE stocks is compared, given the differences in execution methods applied in the opening and closing transactions. Opening returns are found to exhibit greater dispersion, greater deviation form normality and a more negative and significant autocorrelation pattern than closing returns. It is concluded that the trading mechanism has a significant effect on stock price behavior. |
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