Stock market returns in thin markets: Evidence from the Vienna Stock Exchange

Applied Financial Economics

Volumn 7, Issue 5, 1997, Pages 493-498

  Huber, Peter ^a  

^a INSTITUTE FOR ADVANCED STUDIES   (Austria)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0009637154     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031097333358     Document Type: Article

References (7)

1. Chow, K. V. and Denning, K. (1993) A Simple Multiple Variance Ratio Test, Journal of Econometrics, 58, 385-401.
2. Häfke, C. and Helmenstein, C. (1995) Neural Networks in the Capital Markets: An Application to Index Forecasting, Working Paper No. 32, Vienna University of Economics and Business Administration, Economics Department, January.
3. Liu, C. and He, J. (1991) A Variance Ratio Test of Random Walks in Foreign Exchange Rates, Journal of Finance, 46(2), 773-85.
4. Lo, A. and MacKinlay, A. C. (1988) Stock Market Prices do not follow Random Walks: Evidence from a simple Specification Test, Review of Financial Studies, 1, 41-66.
5. Pichler, S. (1993) Size Effekt und Settlement Effekt am österreichischen Aktienmarkt, Österreichisches BankArchiv 2/93, 117-223.
6. Poon, Ser-Huang (1995) Persistence and Mean Reversion in U.K. Stock Returns, Lancaster University Working Paper No. 95010.
7. Poterba, J. M. and Summers, L. H. (1988) Mean Reversion in Stock Prices: Evidence and Implications, Journal of Financial Economics, 22, 27-59.