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The high volume return premium : cross-country evidence

Kaniel, Ron; Ozoguz, Arzu; Starks, Laura T. - In: Journal of financial economics 103 (2012) 2, pp. 255-279

Persistent link: https://www.econbiz.de/10009501397

Return autocorrelations on individual stocks and corresponding futures : evidence from Australian, Hong Kong, and United Kingdom markets

Lien, Da-hsiang Donald; Li, Yang - In: Review of Pacific Basin financial markets and policies 7 (2004) 3, pp. 397-422

Persistent link: https://www.econbiz.de/10002229060

Illiquidity shocks and the comovement between stocks : new evidence using smooth transition

Chelley-Steeley, Patricia L.; Lambertides, Neophytos; … - In: Journal of empirical finance 23 (2013), pp. 1-15

Persistent link: https://www.econbiz.de/10010221801

Co-movements between US and UK stock prices : the role of time-varying conditional correlations

Aslanidis, Nektarios; Osborn, Denise R.; Sensier, Marianne - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 366-380

Persistent link: https://www.econbiz.de/10008811289

Regime-switching angular correlation diversification

Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014234140

Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models

Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48

Persistent link: https://www.econbiz.de/10009155466

Volume and the Nonlinear Dynamics of Stock Returns

Hsu, Chiente - 1998

This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in … which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns …

Persistent link: https://www.econbiz.de/10013519390

Measuring the effects of geographical distance on stock market correlation

Eckel, Stefanie Martina; Löffler, Gunter; Maurer, Alina; … - In: Journal of empirical finance 18 (2011) 2, pp. 237-247

Persistent link: https://www.econbiz.de/10009301123

Did Brexit change asset co-movements?

Saha, Shrabani; Sen, Anindya; Smith-Han, Christine; … - In: Journal of financial economic policy 14 (2022) 1, pp. 43-55

Persistent link: https://www.econbiz.de/10012797551

Brexit and the dependence structure among the G7 bank equity markets

Nekhili, Ramzi; Giannopoulos, Kostas - In: Investment management and financial innovations 17 (2020) 2, pp. 231-239

Persistent link: https://www.econbiz.de/10012303143

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