Does program trading contribute to excess comovement of stock returns?

journal contribution

posted on 2020-12-01, 00:00 authored by M Li, Xiangkang YinXiangkang Yin, J Zhao

Does program trading contribute to excess comovement of stock returns?

History

Journal

Journal of empirical finance

Volume

59

Pagination

257-277

Location

Amsterdam, The Netherlands

Publisher DOI

https://doi.org/10.1016/j.jempfin.2020.11.001

ISSN

0927-5398

Language

eng

Publication classification

C1 Refereed article in a scholarly journal, C Journal article

Publisher

Elsevier

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Categories

Keywords

Program trading Habitat investing Excess return comovement Return reversal Department of Finance 3502 Banking, finance and investment 3801 Applied economics

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All Rights Reserved

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