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Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks

Author
Organization
Keywords
FINANCIAL-MARKETS, INFORMATION, VOLATILITY, RETURNS, IMPACT, ANNOUNCEMENTS, COMPONENTS, VARIANCE, VOLUME, MODEL, High-frequency data, Liquidity, News, Price jumps, Volatility

Citation

Please use this url to cite or link to this publication:

MLA
Boudt, Kris, and Mikael Petitjean. “Intraday Liquidity Dynamics and News Releases Around Price Jumps : Evidence from the DJIA Stocks.” JOURNAL OF FINANCIAL MARKETS 17 (2014): 121–149. Print.
APA
Boudt, K., & Petitjean, M. (2014). Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks. JOURNAL OF FINANCIAL MARKETS, 17, 121–149.
Chicago author-date
Boudt, Kris, and Mikael Petitjean. 2014. “Intraday Liquidity Dynamics and News Releases Around Price Jumps : Evidence from the DJIA Stocks.” Journal of Financial Markets 17: 121–149.
Chicago author-date (all authors)
Boudt, Kris, and Mikael Petitjean. 2014. “Intraday Liquidity Dynamics and News Releases Around Price Jumps : Evidence from the DJIA Stocks.” Journal of Financial Markets 17: 121–149.
Vancouver
1.
Boudt K, Petitjean M. Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks. JOURNAL OF FINANCIAL MARKETS. 2014;17:121–49.
IEEE
[1]
K. Boudt and M. Petitjean, “Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks,” JOURNAL OF FINANCIAL MARKETS, vol. 17, pp. 121–149, 2014.
@article{8600224,
  author       = {Boudt, Kris and Petitjean, Mikael},
  issn         = {1386-4181},
  journal      = {JOURNAL OF FINANCIAL MARKETS},
  keywords     = {FINANCIAL-MARKETS,INFORMATION,VOLATILITY,RETURNS,IMPACT,ANNOUNCEMENTS,COMPONENTS,VARIANCE,VOLUME,MODEL,High-frequency data,Liquidity,News,Price jumps,Volatility},
  language     = {eng},
  pages        = {121--149},
  title        = {Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks},
  url          = {http://dx.doi.org/10.1016/j.finmar.2013.05.004},
  volume       = {17},
  year         = {2014},
}

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