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Volumn 6, Issue 1, 1997, Pages 29-56

Market efficiency before and after the introduction of electronic trading at the Toronto stock exchange

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EID: 0031521241     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1058-3300(97)90013-6     Document Type: Article
Times cited : (14)

References (17)
  • 1
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    • The Expected Value Of The Adjusted Rescaled Hurst Range of Independent Normal Summands
    • Anis A.A., Lloyd E.H. The Expected Value Of The Adjusted Rescaled Hurst Range of Independent Normal Summands. Biometrika. 63:1976;176-189.
    • (1976) Biometrika , vol.63 , pp. 176-189
    • Anis, A.A.1    Lloyd, E.H.2
  • 2
    • 84977707376 scopus 로고
    • Simple Technical Trading Rules And The Stochastic Properties of Stock Returns
    • Brock W., Lakonishok J., LeBaron B. Simple Technical Trading Rules And The Stochastic Properties of Stock Returns. Journal of Finance. 47:1992;1731-1764.
    • (1992) Journal of Finance , vol.47 , pp. 1731-1764
    • Brock, W.1    Lakonishok, J.2    LeBaron, B.3
  • 4
    • 0010852617 scopus 로고
    • Bid-ask Bias In Cumulated Returns: An Analytical Approach
    • London, UK: London Business School
    • Datar V., Naik N. Bid-ask Bias In Cumulated Returns: An Analytical Approach. Working paper 171. 1994;London Business School, London, UK.
    • (1994) Working Paper 171
    • Datar, V.1    Naik, N.2
  • 5
    • 0001674920 scopus 로고
    • Filter Rules and Stock Market Trading
    • Fama E., Blume M. Filter Rules and Stock Market Trading. Journal of Business. 39:1966;226-241.
    • (1966) Journal of Business , vol.39 , pp. 226-241
    • Fama, E.1    Blume, M.2
  • 6
    • 0000754261 scopus 로고
    • Some New Stock Market Indexes
    • Fisher L. Some New Stock Market Indexes. Journal of Business. 29:1966;191-225.
    • (1966) Journal of Business , vol.29 , pp. 191-225
    • Fisher, L.1
  • 8
    • 84977719043 scopus 로고
    • Chaos and Nonlinear Dynamics: Application To Financial Markets
    • Hsieh D.A. Chaos and Nonlinear Dynamics: Application To Financial Markets. Journal of Finance. 46:1991;1839-1876.
    • (1991) Journal of Finance , vol.46 , pp. 1839-1876
    • Hsieh, D.A.1
  • 10
    • 0010853024 scopus 로고
    • Forecasts From a Nonlinear T-Bill Rate Model
    • (November-December)
    • Larrain M., Pagano M. Forecasts From a Nonlinear T-Bill Rate Model. Financial Analysts Journal. 1993;83-88. (November-December).
    • (1993) Financial Analysts Journal , pp. 83-88
    • Larrain, M.1    Pagano, M.2
  • 11
    • 0010783190 scopus 로고
    • Nonlinear Forecasts For The S&P Stock Index
    • Redwood City, CA: Addison-Wesley Publishing
    • LeBaron B. Nonlinear Forecasts For The S&P Stock Index. SFI Studies in the Sciences of Complexity. 12:1992;381-393 Addison-Wesley Publishing, Redwood City, CA.
    • (1992) SFI Studies in the Sciences of Complexity , vol.12 , pp. 381-393
    • LeBaron, B.1
  • 12
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    • Long-Term Memory In Stock Market Prices
    • Lo A.W. Long-Term Memory In Stock Market Prices. Econometrica. 59:1991;1279-1313.
    • (1991) Econometrica , vol.59 , pp. 1279-1313
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  • 13
    • 0002421866 scopus 로고
    • Electronic Trading, Market Structure And Liquidity
    • (January-February)
    • Massimb M.N., Phelps B.D. Electronic Trading, Market Structure And Liquidity. Financial Analysts Journal. 1994;39-50. (January-February).
    • (1994) Financial Analysts Journal , pp. 39-50
    • Massimb, M.N.1    Phelps, B.D.2
  • 14
    • 0002044409 scopus 로고
    • R/S Analysis Using Logarithmic Returns: A Technical Note
    • (November/December)
    • Peters E. R/S Analysis Using Logarithmic Returns: A Technical Note. Financial Analysts Journal. 1992;64-68. (November/December).
    • (1992) Financial Analysts Journal , pp. 64-68
    • Peters, E.1
  • 16


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.