Stock Market Structure, Volatility, and Volume

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作者：Hans R. Stoll
文件大小：2.38MB
文件类型：双层PDF
语言：英语
出版：Research Foundation of The Institute of Chartered Financial Analysts，1990年
页数：74
书签：无

内容简介：
The practical implications of this research are extensive. Markets open and close each day and are \"out of business\" for long periods over the weekend. The Dow Jones Industrial Average falls by X number of points and the authorities shut trading down, in effect creating intraday closings and openings. Then there is Friday's trade-on-close: Just before the market shuts down for the weekend, a single-shot, discreet auction takes place. And what about trusteed funds that trade on either the open or the close and are subject to \"best execution\" rules? Trying to analyze any of these real-world conditions reveals the chasm that exists between our evidential and our anecdotal knowledge of trading on opening or closing prices. Thanks to Stoll and Whaley, we now have the thorough analysis needed to peer into several facets of this long-standing mystery. My focus is on the implications of the study for trading practices. I will also address some policy issues. Along the way, however, I play loose with the findings at times so as to emphasize possibilities, not necessarily solutions.

地址：
http://u.115.com/file/f846119445#