Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market
In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-05-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845023000029 |