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The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market

โœ Scribed by Chaoshin Chiao; Ken Hung; Cheng F. Lee

Book ID
116641525
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
281 KB
Volume
11
Category
Article
ISSN
0927-5398

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## Abstract This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10โ€fold, from an average of 30 seconds to