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The Information Content of Abnormal Trading Volume

✍ Scribed by Emanuele Bajo

Book ID
111106031
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
349 KB
Volume
37
Category
Article
ISSN
0306-686X

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Information content of extended trading
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✍ Louis T. W. Cheng; Li Jiang; Renne W. Y. Ng πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 172 KB

## Abstract The recent extension of trading hours for Hang Seng Index Futures provides an opportunity to examine whether extended futures trading contains useful information about spot returns. Using the weighted price contribution measure, we find that pre‐open futures trades are associated with s