메뉴 건너뛰기




Volumn 16, Issue 4, 1997, Pages 625-636

Feedback trading and the autocorrelation pattern of stock returns: Further empirical evidence

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0031206575     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(97)00021-1     Document Type: Article
Times cited : (102)

References (34)
  • 2
    • 84977711290 scopus 로고
    • Nonsynchronous security trading and market index autocorrelation
    • Atchison, A. D., Butler, K. C. and Simonds, R. R. (1987) Nonsynchronous security trading and market index autocorrelation. Journal of Finance 42, 111-118.
    • (1987) Journal of Finance , vol.42 , pp. 111-118
    • Atchison, A.D.1    Butler, K.C.2    Simonds, R.R.3
  • 6
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31:307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 7
    • 0000375581 scopus 로고
    • A conditional heteroskedastic time series model for speculative prices and rates of return
    • Bollerslev, T. (1987) A conditional heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69, 542-547.
    • (1987) Review of Economics and Statistics , vol.69 , pp. 542-547
    • Bollerslev, T.1
  • 8
    • 34848900983 scopus 로고
    • ARCH modeling in finance: A review of the theory and empirical evidence
    • Bollerslev, T., Chou, R. Y. and Kroner, K. F. (1992) ARCH modeling in finance: a review of the theory and empirical evidence. Journal of Econometrics 52, 5-59.
    • (1992) Journal of Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 9
    • 70350121603 scopus 로고
    • ARCH models
    • eds R. F. Engle and D. L. McFadden, Chapter 49. Elsevier Science B.V.
    • Bollerslev, T., Engle, R. F. and Nelson, D. B. (1994) ARCH models. In Handbook of Econometrics, eds R. F. Engle and D. L. McFadden, Vol. IV, Chapter 49. Elsevier Science B.V.
    • (1994) Handbook of Econometrics , vol.4
    • Bollerslev, T.1    Engle, R.F.2    Nelson, D.B.3
  • 11
    • 0009713512 scopus 로고
    • An intertemporal asset pricing model with stochastic consumption and investment opportunities
    • Breeden, D. T. (1979) An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7, 265-296.
    • (1979) Journal of Financial Economics , vol.7 , pp. 265-296
    • Breeden, D.T.1
  • 14
    • 0001148167 scopus 로고
    • Time-variation in expected returns
    • Conrad, J. and Kaul, G. (1988) Time-variation in expected returns. Journal of Business 61, 409-425.
    • (1988) Journal of Business , vol.61 , pp. 409-425
    • Conrad, J.1    Kaul, G.2
  • 17
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation
    • Engle, R. F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. Econometrica 50, 987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 18
    • 0002528209 scopus 로고
    • The behavior of stock market prices
    • Fama, E. F. (1965) The behavior of stock market prices. Journal of Business 38, 34-105.
    • (1965) Journal of Business , vol.38 , pp. 34-105
    • Fama, E.F.1
  • 19
    • 84936823605 scopus 로고
    • Permanent and transitory components of stock prices
    • Fama, E. F. and French, K. R. (1988) Permanent and transitory components of stock prices. Journal of Political Economy 96, 246-273.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.F.1    French, K.R.2
  • 20
    • 0000029776 scopus 로고
    • Efficient capital markets: II
    • Fama, E. F. (1991) Efficient capital markets: II. The Journal of Finance 46, 1575-1617.
    • (1991) The Journal of Finance , vol.46 , pp. 1575-1617
    • Fama, E.F.1
  • 21
    • 0000754261 scopus 로고
    • Some new stock market indexes
    • Fisher, L. (1966) Some new stock market indexes. Journal of Business 39, 191-225.
    • (1966) Journal of Business , vol.39 , pp. 191-225
    • Fisher, L.1
  • 22
    • 0000211321 scopus 로고
    • Margin requirements volatility and the transitory component of stock prices
    • Hardouvelis, G. A. (1989) Margin requirements volatility and the transitory component of stock prices. American Economic Review 79, 736-762.
    • (1989) American Economic Review , vol.79 , pp. 736-762
    • Hardouvelis, G.A.1
  • 23
    • 84977729844 scopus 로고
    • Margin requirements and stock market volatility
    • Hsieh, D. A. and Miller, M. H. (1990) Margin requirements and stock market volatility. Journal of Finance 44, 3-29.
    • (1990) Journal of Finance , vol.44 , pp. 3-29
    • Hsieh, D.A.1    Miller, M.H.2
  • 24
    • 0000088765 scopus 로고
    • Some relations between volatility and serial correlations in stock market returns
    • LeBaron, B. (1992) Some relations between volatility and serial correlations in stock market returns. The Journal of Business 65, 199-219.
    • (1992) The Journal of Business , vol.65 , pp. 199-219
    • LeBaron, B.1
  • 25
    • 0002484986 scopus 로고
    • Stock market prices do not follow random walks: Evidence from a simple specification test
    • Lo, A. W. 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.
    • (1988) Review of Financial Studies , vol.1 , pp. 41-66
    • Lo, A.W.1    MacKinlay, A.C.2
  • 26
    • 0000621768 scopus 로고
    • An econometric analysis of nonsynchronous trading
    • Lo, A. W. and MacKinlay, A. C. (1990) An econometric analysis of nonsynchronous trading. Journal of Econometrics 45, 181-211.
    • (1990) Journal of Econometrics , vol.45 , pp. 181-211
    • Lo, A.W.1    MacKinlay, A.C.2
  • 27
    • 0002525307 scopus 로고
    • Is the correlation in international equity returns constant: 1960-1990
    • Longin, F. and Solnik, B. (1995) Is the correlation in international equity returns constant: 1960-1990. Journal of International Money and Finance 14, 3-26.
    • (1995) Journal of International Money and Finance , vol.14 , pp. 3-26
    • Longin, F.1    Solnik, B.2
  • 28
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas, R. E. (1978) Asset prices in an exchange economy. Econometrica 46, 1429-1445.
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas, R.E.1
  • 29
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, R. C. (1973) An intertemporal capital asset pricing model. Econometrica 41, 867-888.
    • (1973) Econometrica , vol.41 , pp. 867-888
    • Merton, R.C.1
  • 30
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • Nelson, D. (1991) Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59, 347-370.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.1
  • 34
    • 84992482400 scopus 로고
    • Feedback traders and stock return autocorrelations: Evidence from a century of daily data
    • Sentana, E. and Wadhwani, S. (1992) Feedback traders and stock return autocorrelations: evidence from a century of daily data. The Economic Journal 102, 415-425.
    • (1992) The Economic Journal , vol.102 , pp. 415-425
    • Sentana, E.1    Wadhwani, S.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.