Price and Volume Effects of Changes in MSCI indices – Nature and Causes

By R. Chakrabarti, Wei Huang, Narayanan Jayaraman, Jinsoo Lee. 2005

113 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e0142bad16897e891e69992b588dd94ee04528ba

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Shane A. Corwin
2. Paul H. Schultz
3. Jay R. Ritter
4. Alexander P. Ljungqvist
5. William J. Wilhelm
6. Donghang Zhang
7. Rongbing Huang
8. Amy Y. Zang

In Economics and Econometrics

1. Shane A. Corwin
2. Paul H. Schultz
3. Charles M. C. Lee
4. Heiko Jacobs
5. Eric C. So
6. Angelo Ranaldo
7. Sean Wang
8. Sebastian Müller

In Finance

1. Shane A. Corwin
2. Paul H. Schultz
3. Charles M. C. Lee
4. Peter Feldhütter
5. Jay R. Ritter
6. Yongtae Kim
7. Heiko Jacobs
8. Eric C. So

Citations in the corpus

• A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices (2012, background): “See Amihud, Lauterbach, and Mendelson (2003), Chakrabarti et al. (2005), or Griffin, Kelly, and Nardari (2010) for examples of the application of Roll spread estimators to international data.”