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The impact of the CSI 300 stock index futures : positive feedback trading and autocorrelation of stock returns
Hou, Yang; Li, Steven - In: International review of economics & finance : IREF 33 (2014), pp. 319-337
Persistent link: https://www.econbiz.de/10010532719
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Index futures and positive feedback trading : evidence from major stock exchanges
Antoniou, Antonios; Koutmos, Gregory; Pericli, Andreas - 1998
Persistent link: https://www.econbiz.de/10001416416
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Index futures and positive feedback trading : evidence from major stock exchanges
Antoniou, Antonios; Koutmos, Gregory; Pericli, Andreas … - In: Journal of empirical finance 12 (2005) 2, pp. 219-238
Persistent link: https://www.econbiz.de/10002685067
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Detecting positive feedback trading when autocorrelation is positive
Angelovska, Julijana - In: Zagreb international review of economics & business 16 (2013) 1, pp. 93-101
Persistent link: https://www.econbiz.de/10010258923
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The dynamic relationship between investor attention and stock market volatility : international evidence
Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...
Persistent link: https://www.econbiz.de/10012821063
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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10011485602
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Behaviour of stock return autocorrelation in the GCC stock markets
Chowdhury, Shah Saeed Hassan; Rahman, M. Arifur; … - In: Global business review 16 (2015) 5, pp. 737-746
Persistent link: https://www.econbiz.de/10011409651
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Revisiting the asymmetric dynamic dependence of stock returns : evidence from a quantile autoregression model
Zhu, Huiming; Li, Zhao-Lai; You, Wan-hai; Zeng, Zhaofa - In: International review of financial analysis 40 (2015), pp. 142-153
Persistent link: https://www.econbiz.de/10011475708
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Changes in the unconditional variance and autoregressive conditional heteroscedasticity
Peiro, Amado - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1338-1343
Persistent link: https://www.econbiz.de/10011774855
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The effect of abnormal turnover on asymmetric autoregressive behavior of index returns : evidence from the Chinese a-share stock markets
Hsiao, Jung-lieh; Tu, Teng-tsai - In: Asia-Pacific journal of financial studies 41 (2012) 5, pp. 563-589
Persistent link: https://www.econbiz.de/10009665558