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Noise Trading und Ineffizienzen am deutschen Aktienmarkt : mit einem Geleitwort von Bernd Rudolph
Jaron, Martin - 2010
Persistent link: https://www.econbiz.de/10008652893
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An empirical study of forecasting power of turnover and book-to-price for stock returns in Taiwan
Sheu, Her-jiun; Ku, Kuang-ping - In: Advances in Pacific Basin financial markets 5 (1999), pp. 325-336
Persistent link: https://www.econbiz.de/10001493562
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An application of variance-ratio test to five Asian stock markets
Alam, M. Imam; Hasan, Tanweer; Kadapakkam, Palani-Rajan - In: Review of Pacific Basin financial markets and policies 2 (1999) 3, pp. 301-315
Persistent link: https://www.econbiz.de/10001447602
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The impact of changes in the FTSE 100 index
Mase, Bryan - In: The financial review : the official publication of the … 42 (2007) 3, pp. 461-484
Persistent link: https://www.econbiz.de/10003639192
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New evidence on the price and liquidity effects of the FTSE 100 index revisions
Mazouz, Khelifa; Saadouni, Bharim - In: International review of financial analysis 16 (2007) 3, pp. 223-241
Persistent link: https://www.econbiz.de/10003510451
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Good volatility, bad volatility : signed jumps and the persistence of volatility
Patton, Andrew J.; Sheppard, Kevin - In: The review of economics and statistics 97 (2015) 3, pp. 683-697
Persistent link: https://www.econbiz.de/10011333073
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Anticipatory effects in the FTSE 100 index revisions
Fernandes, Marcelo; Mergulhão, João - 2015
This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression...
Persistent link: https://www.econbiz.de/10011405289
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The impact of changes in the FTSE 100 index
Mase, Bryan - 2002
Persistent link: https://www.econbiz.de/10001847533
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An EM algorithm for conditionally heteroscedastic factor models
Dēmos, Antōnēs A. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 357-361
Persistent link: https://www.econbiz.de/10001246504
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Are the market effects associated with revisions to the TSE300 index robust?
Chung, Richard; Kryzanowski, Lawrence - In: Multinational finance journal : MF ; quarterly … 2 (1998) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10001448255