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Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data
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Outgoing claims: the papers this work cites, builds on, or argues with.
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The econometric analysis of models with risk terms
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Stock Market Margin Requirements and Volatility: Implications for Regulation of Stock Index Futures
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Business Cycles, Financial Crises, and Stock Volatility
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Mean Reversion and Consumption Smoothing
inferredcites →https://doi.org/10.1111/j.1467-9957.1993.tb00222.xopenalex-snapshot
FROM HOUR TO HOUR IN THE FOREIGN EXCHANGE MARKET
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb02152.xopenalex-snapshot
Implications of Microstructure Theory for Empirical Research on Stock Price Behavior
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The Price Variability-Volume Relationship on Speculative Markets
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Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
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Conditional Heteroskedasticity in Asset Returns: A New Approach
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An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Market Prices
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Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model
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Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets
inferred← citeshttps://doi.org/10.1016/s0261-5606(97)00021-1openalex-snapshot
Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence
inferred← citeshttps://doi.org/10.1016/s0378-4266(00)00110-2openalex-snapshot
Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction
inferred← citeshttps://doi.org/10.1016/s0378-4266(99)00071-0openalex-snapshot
Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange
inferred← citeshttps://doi.org/10.1016/s0927-538x(98)00011-0openalex-snapshot
Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market
inferred← citeshttps://doi.org/10.1016/s0927-5398(02)00011-7openalex-snapshot
Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach
inferred← citeshttps://doi.org/10.1016/s1042-4431(97)00022-xopenalex-snapshot
Do emerging and developed stock markets behave alike? Evidence from six pacific basin stock markets
inferred← citeshttps://doi.org/10.1016/s1059-0560(02)00101-6openalex-snapshot
The impact of government intervention on stock returns
inferred← citeshttps://doi.org/10.1016/s1566-0141(01)00025-5openalex-snapshot
Foreign investment, regulation and price volatility in South-east Asian stock markets
inferred← citeshttps://doi.org/10.1016/s1569-3767(07)00004-0openalex-snapshot
Chapter 4 Conditional autocorrelation and stock market integration in the Asia-Pacific
inferred← citeshttps://doi.org/10.1017/s1361491608002104openalex-snapshot
Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892-1913
inferred← citeshttps://doi.org/10.1023/a:1015300817043openalex-snapshot
The Evolution of Market Efficiency: 103 Years Daily Data of the Dow
inferred← citeshttps://doi.org/10.1063/5.0024335openalex-snapshot
Assessing volatility in returns : An Indian stock market perspective
inferred← citeshttps://doi.org/10.1080/00036840110095436openalex-snapshot
Is bad news cause of asymmetric volatility response? A note
inferred← citeshttps://doi.org/10.1080/00207729408949324openalex-snapshot
Strong resonances and chaos in a stock market model
inferred← citeshttps://doi.org/10.1080/02692171.2014.956703openalex-snapshot
Financial integration and exchange rate determination: a Brazilian case study
inferred← citeshttps://doi.org/10.1080/0308883042000208301openalex-snapshot
The empirical evidence of the leverage effect on volatility in international bulk shipping market
inferred← citeshttps://doi.org/10.1080/096031000437953openalex-snapshot
Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden
inferred← citeshttps://doi.org/10.1080/09603100110090163openalex-snapshot
Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan
inferred← citeshttps://doi.org/10.1080/096031001300138690openalex-snapshot
Positive feedback trading in emerging capital markets
inferred← citeshttps://doi.org/10.1080/0960310022000040715openalex-snapshot
Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures
inferred← citeshttps://doi.org/10.1080/09603100600749212openalex-snapshot
Stock return dynamics and stock market interdependencies
inferred← citeshttps://doi.org/10.1080/09603100600993794openalex-snapshot
Has entry to the European Union altered the dynamic links of stock returns for the emerging markets?
inferred← citeshttps://doi.org/10.1080/09603100701704280openalex-snapshot
Empirical evidence on feedback trading in mature and emerging stock markets
inferred← citeshttps://doi.org/10.1080/09603107.2011.591728openalex-snapshot
Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets
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Feedback trading on the JSE
inferred← citeshttps://doi.org/10.1080/135048500351131openalex-snapshot
The impact of futures trading on underlying stock index volatility: the case of the FTSE Mid 250 contract
inferred← citeshttps://doi.org/10.1080/13504850110068837openalex-snapshot
The impact of futures trading on spot index volatility: evidence for Taiwan index futures
inferred← citeshttps://doi.org/10.1080/13504850601018148openalex-snapshot
Multiple asymmetries in index stock returns from boom/bust and stable/volatile markets states- an empirical study of US and UK stock markets
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