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Evidence of psychological barriers in the conditional moments of major world stock indices

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  • Cyree, Ken B.
  • Domian, Dale L.
  • Louton, David A.
  • Yobaccio, Elizabeth J.
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    File URL: http://www.sciencedirect.com/science/article/B6W61-3XX6KG1-6/2/418d8420d1dc88e755f13b35234f6a01
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 8 (1999)
    Issue (Month): 1 (June)
    Pages: 73-91

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    Handle: RePEc:eee:revfin:v:8:y:1999:i:1:p:73-91

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    Web page: http://www.elsevier.com/locate/inca/620170

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    1. Donaldson, R.G., 1990. "International Evidence On Psychological Barriers In Asset Prices And The Efficient Market Hypothesis," Papers 116, Princeton, Department of Economics - Financial Research Center.
    2. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
    3. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    4. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    6. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
    7. Koedijk, C.G. & Stork, P.A., 1994. "Should we care? Psychological barriers in stock markets," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108716, Tilburg University.
    8. Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
    9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    10. Donaldson, R. Glen & Kim, Harold Y., 1993. "Price Barriers in the Dow Jones Industrial Average," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(03), pages 313-330, September.
    11. De Grauwe, Paul & Decupere, Danny, 1992. "Psychological Barriers in the Foreign Exchange Market," CEPR Discussion Papers 621, C.E.P.R. Discussion Papers.
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    Cited by:
    1. Mitchell, Jason & Izan, H.Y., 2006. "Clustering and psychological barriers in exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 318-344, October.
    2. Li, Jun & Yu, Jianfeng, 2012. "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, vol. 104(2), pages 401-419.
    3. Brian Lucey & Raj Aggarwal, 2005. "Psychological Barriers in Gold Prices," The Institute for International Integration Studies Discussion Paper Series iiisdp053, IIIS.
    4. Dorfleitner, Gregor & Klein, Christian, 2009. "Psychological barriers in European stock markets: Where are they?," Global Finance Journal, Elsevier, vol. 19(3), pages 268-285.

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