-
1
-
-
84987588059
-
Seasonal and day of the week effects in four emerging stock markets
-
Aggarwal, R. and Rivoli, P. (1989) Seasonal and day of the week effects in four emerging stock markets, The Financial Review, 24, 541-50.
-
(1989)
The Financial Review
, vol.24
, pp. 541-550
-
-
Aggarwal, R.1
Rivoli, P.2
-
2
-
-
0001913449
-
Anomalies or illusions? Evidence from stock markets in eighteen countries
-
Agrawal, A. and Tandon, K. (1998) Anomalies or illusions? Evidence from stock markets in eighteen countries, Journal of International Money and Finance, 13, 83-106.
-
(1998)
Journal of International Money and Finance
, vol.13
, pp. 83-106
-
-
Agrawal, A.1
Tandon, K.2
-
3
-
-
0001324495
-
Private information, trading volume, and stock return variances
-
Barclay, M., Litzenberger, R. and Warner, J. (1990) Private information, trading volume, and stock return variances, Review of Financial Studies, 3, 233-53.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 233-253
-
-
Barclay, M.1
Litzenberger, R.2
Warner, J.3
-
4
-
-
42449156579
-
Generalized autoregressive conditional heteroskedasticity
-
Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-27.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
5
-
-
0000375581
-
A conditional heteroscedastic time series model for speculative prices and rates of return
-
Bollerslev, T. (1987) A conditional heteroscedastic time series model for speculative prices and rates of return, Review of Economics and Statistics, 69, 542-7.
-
(1987)
Review of Economics and Statistics
, vol.69
, pp. 542-547
-
-
Bollerslev, T.1
-
6
-
-
84981376905
-
'On the correlation structure for the generalized autoregressive conditional heteroscedastic process
-
Bollerslev, T. (1988) 'On the correlation structure for the generalized autoregressive conditional heteroscedastic process, Journal of Time Series Analysis, 9, 121-31.
-
(1988)
Journal of Time Series Analysis
, vol.9
, pp. 121-131
-
-
Bollerslev, T.1
-
7
-
-
34848900983
-
ARCH modeling in finance
-
Bollerslev, T., Chou, R. and Kroner, K. (1992) ARCH modeling in finance, Journal of Econometrics, 52, 5-59.
-
(1992)
Journal of Econometrics
, vol.52
, pp. 5-59
-
-
Bollerslev, T.1
Chou, R.2
Kroner, K.3
-
8
-
-
0039677004
-
Introduction
-
E. Dimson (ed.) Cambridge University Press, Cambridge
-
Bowers, J. and Dimson, E. (1998) Introduction, in: E. Dimson (ed.) Stock Market Anomalies, pp. 3-15, Cambridge University Press, Cambridge.
-
(1998)
Stock Market Anomalies
, pp. 3-15
-
-
Bowers, J.1
Dimson, E.2
-
9
-
-
84972029212
-
International evidence on the robustness of the day-of-the week effect
-
Chang, E., Pinegar, M. and Ravichandran, R. (1993) International evidence on the robustness of the day-of-the week effect, Journal of Financial and Quantitative Analysis, 28, 497-513.
-
(1993)
Journal of Financial and Quantitative Analysis
, vol.28
, pp. 497-513
-
-
Chang, E.1
Pinegar, M.2
Ravichandran, R.3
-
11
-
-
38249014282
-
A contribution to event study methodology with an application to the Dutch stock market
-
de Jong, F., Kemma, A. and Kloek, T. (1992) A contribution to event study methodology with an application to the Dutch stock market, Journal of Banking and Finance, 16, 11-36.
-
(1992)
Journal of Banking and Finance
, vol.16
, pp. 11-36
-
-
De Jong, F.1
Kemma, A.2
Kloek, T.3
-
12
-
-
0002528209
-
The behaviour of stock market prices
-
Fama, E. (1965) The behaviour of stock market prices, Journal of Business, 38, 34-105.
-
(1965)
Journal of Business
, vol.38
, pp. 34-105
-
-
Fama, E.1
-
13
-
-
85015633852
-
Good news, bad news, volume and the Monday effect
-
Fishe, R., Gosnell, T. and Lasser, D. (1993) Good news, bad news, volume and the Monday effect, Journal of Business Finance and Accounting, 20, 881-92.
-
(1993)
Journal of Business Finance and Accounting
, vol.20
, pp. 881-892
-
-
Fishe, R.1
Gosnell, T.2
Lasser, D.3
-
14
-
-
0002021110
-
Stock market efficiency: An autopsy
-
April/March 1
-
Fortune, P. (1991) Stock market efficiency: an autopsy, New England Economic Review, April/March 1, 17-40.
-
(1991)
New England Economic Review
, pp. 17-40
-
-
Fortune, P.1
-
15
-
-
0000763880
-
A theory of interday variations in volumes, variance, and trading costs in securities markets
-
Foster, D. and Viswanathan, S. (1990) A theory of interday variations in volumes, variance, and trading costs in securities markets, Review of Financial Studies, 3, 593-624.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 593-624
-
-
Foster, D.1
Viswanathan, S.2
-
16
-
-
49149143225
-
Stock returns and the weekend effect
-
French, K. (1980) Stock returns and the weekend effect, Journal of Financial Economics, 8, 55-69.
-
(1980)
Journal of Financial Economics
, vol.8
, pp. 55-69
-
-
French, K.1
-
17
-
-
0039084784
-
Stock return variances: The arrival of information and the reaction of traders
-
French, K. and Roll, R. (1986) Stock return variances: the arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5-26.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 5-26
-
-
French, K.1
Roll, R.2
-
18
-
-
0000334056
-
Day of the week effects and asset returns
-
Gibbons, M. and Hess, P. (1981) Day of the week effects and asset returns, Journal of Business, 54, 579-96.
-
(1981)
Journal of Business
, vol.54
, pp. 579-596
-
-
Gibbons, M.1
Hess, P.2
-
19
-
-
84977315716
-
The random walk hypothesis of stock market behaviour
-
Godfrey, M., Granger, C. and Morgenstern, O. (1964) The random walk hypothesis of stock market behaviour, Kyklos, 17, 1-17.
-
(1964)
Kyklos
, vol.17
, pp. 1-17
-
-
Godfrey, M.1
Granger, C.2
Morgenstern, O.3
-
20
-
-
0003101292
-
Seasonal pattern in volatility in Asian stock markets
-
Ho, R. and Cheung, Y. (1994) Seasonal pattern in volatility in Asian stock markets, Applied Financial Economics, 4, 61-7.
-
(1994)
Applied Financial Economics
, vol.4
, pp. 61-67
-
-
Ho, R.1
Cheung, Y.2
-
22
-
-
84952520952
-
Modeling heteroskedasticity in daily foreign exchange rates
-
Hsieh, D. (1989) Modeling heteroskedasticity in daily foreign exchange rates, Journal of Business and Economic Statistics, 7, 307-17.
-
(1989)
Journal of Business and Economic Statistics
, vol.7
, pp. 307-317
-
-
Hsieh, D.1
-
23
-
-
80051899787
-
The week-end effect in common stock returns: The international evidence
-
Jaffe, J. and Westerfield, R. (1985) The week-end effect in common stock returns: the international evidence, Journal of Finance, 40, 237-44.
-
(1985)
Journal of Finance
, vol.40
, pp. 237-244
-
-
Jaffe, J.1
Westerfield, R.2
-
24
-
-
84944835445
-
A further investigation of the weekend effect in stock returns
-
Keim, D. and Stambaugh, R. (1984) A further investigation of the weekend effect in stock returns, Journal of Finance, 39, 819-35.
-
(1984)
Journal of Finance
, vol.39
, pp. 819-835
-
-
Keim, D.1
Stambaugh, R.2
-
25
-
-
1342343771
-
Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points
-
Keim, D. (1989) Trading patterns, bid-ask spreads, and estimated security returns: the case of common stocks at calendar turning points, Journal of Financial Economics, 25, 75-97.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 75-97
-
-
Keim, D.1
-
26
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. (1985) Continuous auctions and insider trading, Econometrica, 53, 1315-35.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.1
-
27
-
-
0000942739
-
Persistence in variance, structural change, and the GARCH model
-
Lamoureux, C. and Lastrapes, W. (1990) Persistence in variance, structural change, and the GARCH model, Journal of Business and Economics Statistics, 8, 225-35.
-
(1990)
Journal of Business and Economics Statistics
, vol.8
, pp. 225-235
-
-
Lamoureux, C.1
Lastrapes, W.2
-
28
-
-
0000277728
-
Are seasonal anomalies real? A ninety year perspective
-
Lakonishok, J. and Smidt, S. (1988) Are seasonal anomalies real? A ninety year perspective, The Review of Financial Studies, 1, 403-25.
-
(1988)
The Review of Financial Studies
, vol.1
, pp. 403-425
-
-
Lakonishok, J.1
Smidt, S.2
-
29
-
-
0001504360
-
The variance of certain speculative prices
-
Mandlebrot, B. (1963) The variance of certain speculative prices, Journal of Business, 36, 394-419.
-
(1963)
Journal of Business
, vol.36
, pp. 394-419
-
-
Mandlebrot, B.1
-
30
-
-
0002832996
-
Calendar effects in the London Stock Exchange FT-SE indices
-
Mills, T. and Coutts, J. (1995) Calendar effects in the London Stock Exchange FT-SE indices, European Journal of Finance, 1, 79-93.
-
(1995)
European Journal of Finance
, vol.1
, pp. 79-93
-
-
Mills, T.1
Coutts, J.2
-
31
-
-
84944830455
-
New findings regarding day of the week returns over trading and non-trading periods: A note
-
Rogalski, R. (1984) New findings regarding day of the week returns over trading and non-trading periods: a note, Journal of Finance, 39, 1603-14.
-
(1984)
Journal of Finance
, vol.39
, pp. 1603-1614
-
-
Rogalski, R.1
|