Whether cross-listing, stock-specific and market-wide calender events impact intraday volatility dynamics?
Subtitle: evidence from the Indian stock market using high-frequency data
By: Sobhesh Kumar Aggarwalla, Ajay Pandey
Contributors: Pandey, Ajay, author; Indian Institute of Management, Ahmedabad
Series: Working paper -- W.P. No. 2012-11-03
Publisher: Indian Institute of Management
Published: 2012
Place of publication: Ahmedabad
Language: eng
Number of pages: 22
Subjects: Econometric models; Capital market; Stock exchanges
Notes: Includes bibliographical references (pages 15-16).