Intraday Speed of Adjustment and Realized Variances in the Indonesia Stock Exchange
We examine the intraday trading and price dynamics for frequently traded stocks at the Indonesian Stock Exchange. Using trade price, time series generated at one, two, three, five, ten, fifteen, thirty and sixty-minute intervals, we estimate the speed of adjustment and the corresponding realized var...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Indonesia
2014-11-01
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| Series: | Indonesian Capital Market Review |
| Online Access: | http://journal.ui.ac.id/index.php/icmr/article/view/3916 |