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Volumn 5, Issue 1, 1998, Pages 19-23

A note on ERM membership and the efficiency of the London Stock Exchange

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Indexed keywords


EID: 0008339112     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/758540120     Document Type: Article
Times cited : (7)

References (17)
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    • forthcoming
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  • 2
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    • Exchange rates, interest rates, capital controls and the European Monetary System: Assessing the track record
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    • Artis, M.J. and Taylor, M.P. (1988) Exchange rates, interest rates, capital controls and the European Monetary System: assessing the track record, in F. Giavazzi, S. Micossi and M. Miller (eds) The European Monetary System (Cambridge University Press, Cambridge).
    • (1988) The European Monetary System
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  • 4
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    • A conditionally heteroscedastic time series model for speculative prices and rates of return
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    • Bollerslev, T.1
  • 6
    • 11744353948 scopus 로고
    • Change in volatility of the Sterling-Deutschmark exchange rate: The effect of ERM membership
    • Chappell, D. and Padmore, J. (1995) Change in volatility of the Sterling-Deutschmark exchange rate: the effect of ERM membership, Applied Financial Economics, 2, 291-94.
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    • Chappell, D.1    Padmore, J.2
  • 8
    • 84971847645 scopus 로고
    • Temporary components of stock prices: New univariate results
    • Eckbo, B.E. and Liu, J. (1993) Temporary components of stock prices: new univariate results, Journal of Financial and Quantitative Analysis, 28(2), 161-76.
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , Issue.2 , pp. 161-176
    • Eckbo, B.E.1    Liu, J.2
  • 9
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    • Fama, E.F.1
  • 10
    • 33749530780 scopus 로고
    • Testing the random walk hypothesis on Swedish stock prices: 1919-1990
    • Frennberg, P. and Hansson, B. (1993) Testing the random walk hypothesis on Swedish stock prices: 1919-1990, Journal of Banking and Finance, 17, 175-91.
    • (1993) Journal of Banking and Finance , vol.17 , pp. 175-191
    • Frennberg, P.1    Hansson, B.2
  • 11
    • 40749093037 scopus 로고
    • Measuring the strangeness of strange attractors
    • Grassberger, P. and Procaccia, I. (1983) Measuring the strangeness of strange attractors, Physica, 9D, 189-208.
    • (1983) Physica , vol.9 D , pp. 189-208
    • Grassberger, P.1    Procaccia, I.2
  • 12
    • 84977719043 scopus 로고
    • Chaos and non-linear dynamics: Applications to financial markets
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  • 13
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    • The fractal structure in multinational stock returns
    • Huang, B. and Yang, C.W. (1995) The fractal structure in multinational stock returns, Applied Financial Economics, 2, 67-71.
    • (1995) Applied Financial Economics , vol.2 , pp. 67-71
    • Huang, B.1    Yang, C.W.2
  • 15
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    • Long-term memory on stock market prices
    • Lo, A.W. (1991) Long-term memory on stock market prices, Econometrica, 59, 1279-1313.
    • (1991) Econometrica , vol.59 , pp. 1279-1313
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  • 16
    • 45249127135 scopus 로고
    • The size and power of the variance ratio test in finite samples
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  • 17
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    • Mean reversion of stock prices: Evidence and implications
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