Similar Search Results

Trading volume and cross-autocorrelations of stock returns in emerging markets : evidence from the Taiwan stock market

Kuo, Wen-Hsiu; Hsu, Hsinan; Chiang, Chwan-Yi - In: Review of Pacific Basin financial markets and policies 7 (2004) 4, pp. 509-524

Persistent link: https://www.econbiz.de/10002436299

Risk-return tradeoff and serial correlation in the Chinese stock market : a bailout-driven crash feedback hypothesis

Yao, Jing; Yang, Yiwen - In: Economic modelling 129 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014472100

Is factor momentum greater than stock momentum?

Falck, Antoine; Rej, Adam; Thesmar, David - In: The journal of investment strategies 10 (2021) 4, pp. 43-68

Persistent link: https://www.econbiz.de/10014335802

The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach

Barnett, William A.; Wang, Xue; Xu, Hai-Chuan; Zhou, … - In: The European journal of finance 29 (2023) 16, pp. 1933-1956

Persistent link: https://www.econbiz.de/10014388527

A regime-switching model of stock returns with momentum and mean reversion

Giner, Javier; Zakamulin, Valeriy - In: Economic modelling 122 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014388630

Predictability of return in Pakistan stock market through the application of the threshold quantile autoregressive models

Rasheed, Muhammad Haroon; Gul, Faid; Hashmi, Aijaz Mustafa - In: Iranian economic review : journal of University of Tehran 25 (2021) 4, pp. 815-828

Persistent link: https://www.econbiz.de/10012806683

Stock return autocorrelations and predictability in the Chinese stock market : evidence from threshold quantile autoregressive models

Xue, Wen-Jun; Zhang, Li-Wen - In: Economic modelling 60 (2017), pp. 391-401

Persistent link: https://www.econbiz.de/10011734259

Stock return autocorrelation, day of the week and volatility : an empirical investigation on the Saudi Arabian stock market

Chowdhury, Shah Saeed Hassan; Rahman, M. Arifur; … - In: Review of accounting & finance 16 (2017) 2, pp. 218-238

Persistent link: https://www.econbiz.de/10011738464

Modeling stock market returns under self-exciting threshold autoregressive model : evidence from West Africa

Gyamfi, Emmanuel Numapau; Kyei, Kwabena A. - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1194-1199

Persistent link: https://www.econbiz.de/10011698077

Cross-autocorrelations in European stock returns

Peiro, Amado - In: Economics and Business Letters : EBL 5 (2016) 1, pp. 30-37

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...

Persistent link: https://www.econbiz.de/10011573194

A service of the

zbw