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20072009
most citedEmpirical distributions of Chinese stock returns at different microscopic timescales

82 citations

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q-fin.ST2009★ 17 cited

Empirical regularities of opening call auction in Chinese stock market

Gao-Feng Gu, Fei Ren, Xiao-Hui Ni +2

We study the statistical regularities of opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distributio…