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Kudryavtsev, Andrey - In: The empirical economics letters : a monthly … 12 (2013) 7, pp. 807-812

Persistent link: https://www.econbiz.de/10010363119

Informational content of open-to-close stock returns

Kudryavtsev, Andrey - In: European financial and accounting journal : EFAJ 10 (2015) 1, pp. 5-17

In the present study, I explore interday correlations between open-to-close and opening stock returns. Employing intraday price data on all the stocks that were S&P 500 Index constituents during the period from 1993 to 2013, I find that stock returns in opening trading sessions systematically...

Persistent link: https://www.econbiz.de/10011470962

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486

Persistent link: https://www.econbiz.de/10009509864

Mean reversion in national stock markets revisited : empirical evidence from mature markets

Bernal, Alberto J.; Soikkeli, Jarkko - 2000

Persistent link: https://www.econbiz.de/10001485780

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...

Persistent link: https://www.econbiz.de/10012513279

Exploring price gap anomaly in the Ukrainian stock market

Plastun, Alex; Makarenko, Inna; Khomutenko, Lyudmila; … - In: Investment management and financial innovations 16 (2019) 2, pp. 150-158

Persistent link: https://www.econbiz.de/10012122156

Stock market reaction to mega-sport events : evidence from South Africa and Morocco

Gopane, Thabo J.; Mmotla, Reggy M. - In: International journal of sport finance 14 (2019) 4, pp. 193-210

Persistent link: https://www.econbiz.de/10012155538

Calendar anomalies in the Gulf Cooperation Council stock markets

Turk Ariss, Rima; Rezvanian, Rasoul; Mehdian, Seyed M. - In: Emerging markets review 12 (2011) 3, pp. 293-307

Persistent link: https://www.econbiz.de/10009306829

European ADRs : what a difference a decade makes

Schaub, Mark - In: Applied economics letters 21 (2014) 7/9, pp. 470-476

Persistent link: https://www.econbiz.de/10010414307

Momentum effect in Indian stock market : a sectoral study

Garg, Ashish Kumar; Varshney, Pankaj - In: Global business review 16 (2015) 3, pp. 494-510

Persistent link: https://www.econbiz.de/10011409303