Does program trading contribute to excess comovement of stock returns?

Li, Mingyi, Yin, Xiangkang and Zhao, Jing 2020, Does program trading contribute to excess comovement of stock returns?, Journal of empirical finance, vol. 59, pp. 257-277, doi: 10.1016/j.jempfin.2020.11.001.

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Title Does program trading contribute to excess comovement of stock returns?
Author(s) Li, Mingyi
Yin, XiangkangORCID iD for Yin, Xiangkang orcid.org/0000-0002-7031-414X
Zhao, Jing
Journal name Journal of empirical finance
Volume number 59
Start page 257
End page 277
Total pages 21
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2020-12
ISSN 0927-5398
Keyword(s) Program trading
Habitat investing
Excess return comovement
Return reversal
Language eng
DOI 10.1016/j.jempfin.2020.11.001
Indigenous content off
Field of Research 1402 Applied Economics
1403 Econometrics
1502 Banking, Finance and Investment
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30146145

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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