Is news the main reason why momentum and reversal take place in the stock market?
Chengyao WuXindan LiHaifei LiuPublished in: ICNC (2010)
Keyphrases
- stock market
- financial news
- short term
- stock price
- stock index futures
- stock trading
- trading rules
- financial time series
- financial data
- stock data
- stock returns
- news articles
- chinese stock market
- financial markets
- stock exchange
- long term
- stock market data
- garch model
- listed companies
- portfolio optimization
- trading strategies