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- W2158686005 abstract "We use a sample of intraday extreme stock price movements and assess the noise trading component of those movements. We find that the first and last periods of the day are when large stock price movements are triggered without public information. The reversals to positive stock price movements are more pronounced when the initial stock price movement was caused by a relatively high degree of institutional trading, and when there is a relatively low degree of trading activity for that stock. The reversals are more pronounced for the relatively large positive and negative intraday stock price movements. This implies that market participants view large intraday stock price deviations as noise when they are not backed by public information, and they quickly correct for these discrepancies." @default.
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- W2158686005 date "2007-03-31" @default.
- W2158686005 modified "2023-09-26" @default.
- W2158686005 title "Sources of Intraday Noise" @default.
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- W2158686005 doi "https://doi.org/10.3905/jot.2007.682138" @default.
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