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This paper examines lead-lag relationships between monthly index returns from 18 European industries. Several interesting and clear relationships are found that call into question the efficiency of European stock markets. While the Automobiles & Parts sector lags more than half of the other...
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The autocorrelation in stock returns is one of the most important anomalies in financial markets worldwide. In this … paper, we have investigated differences in return autocorrelation on a day-to-day basis in the Spanish and French stock … also overnight closings, to explain return autocorrelation anomalies. While close-to-close stock returns are highly …
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Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react non-linearly...
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