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Speed of Adjustment, Volatility and Noise

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ISBN-10: 3838377508

ISBN-13: 9783838377506

Edition: N/A

Authors: Zaafri Husodo

List price: $72.00
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Description:

This book contains three essays that explore the speed of adjustment, volatility and noise in the Indonesia Stock Exchange. The first essay found that the significant factor determining the noise in the speed of adjustment is bid-ask fluctuations. Further, the adverse selection cost is found to be a significant component determining the speed of adjustment level in the Indonesia Stock Exchange. The second essay analyses the exact time of adjustment at intraday frequency from 2000 to 2007. Both first and second moment estimation of the speed of adjustment provide consistent result of 30 minute adjustment period. The third essay analyses the second moment of continuously compounded returns…    
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Book details

List price: $72.00
Publisher: Lambert Academic Publishing
Binding: Paperback
Pages: 156
Size: 6.00" wide x 9.00" long x 0.36" tall
Weight: 0.528
Language: English