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Market Serial Correlation on a Small Security Market: A Note

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  • Berglund, Tom
  • Liljeblom, Eva

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Bibliographic Info

Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 43 (1988)
Issue (Month): 5 (December)
Pages: 1265-74

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Handle: RePEc:bla:jfinan:v:43:y:1988:i:5:p:1265-74

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Cited by:
  1. Joanna Olbrys & Elzbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 51-70.
  2. Mika Vaihekoski, 2011. "History of financial research and education in Finland," The European Journal of Finance, Taylor & Francis Journals, vol. 17(5-6), pages 339-354.
  3. G. Booth & Mustafa Chowdhury & Teppo Martikainen, 1994. "The effect of foreign ownership restrictions on stock price dynamics," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(4), pages 730-746, December.
  4. Safvenblad, Patrik, 2000. "Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1275-1287, August.
  5. Kallunki, Juha-Pekka, 1997. "Handling missing prices in a thinly traded stock market: implications for the specification of event study methods," European Journal of Operational Research, Elsevier, vol. 103(1), pages 186-197, November.
  6. Kallunki, J-P. & Martikainen, T., 1997. "The covariance-factor structure of daily returns in a thinly traded stock market," Journal of Multinational Financial Management, Elsevier, vol. 7(2), pages 113-125, June.
  7. Säfvenblad, Patrik, 1997. "Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market," Working Paper Series in Economics and Finance 190, Stockholm School of Economics.
  8. Säfvenblad, Patrik, 1997. "Trading Volume and Autocorrelation: Empirical Evidence from the Stockholm Stock Exchange," Working Paper Series in Economics and Finance 191, Stockholm School of Economics.
  9. Korkeamäki, Timo & Rainio, Elina & Takalo, Tuomas, 2010. "Law and stock markets: evidence from an emerging market," Research Discussion Papers 1/2010, Bank of Finland.
  10. Kallunki, Juha-Pekka, 1997. "Using accounting variables as instrumental risk measures in event studies: evidence from a thinly traded stock market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 189-202, October.
  11. Teppo Martikainen, 1991. "The impact of infrequent trading on betas based on daily, weekly and monthly return intervals : empirical evidence with Finnish data," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 52-64, Spring.
  12. Vaihekoski, Mika, 2008. "History of finance research and education in Finland: The first thirty years," Research Discussion Papers 18/2008, Bank of Finland.
  13. Sahlstrom, Petri, 2001. "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 19-36.

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