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A new approach to stock price modelling and the efficiency of the Italian stock exchange

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  • Attilio Gardini
  • Giuseppe Cavaliere

    ()

  • Michele Costa

Abstract

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File URL: http://hdl.handle.net/10.1007/BF03178939
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Bibliographic Info

Article provided by Springer in its journal Journal of the Italian Statistical Society.

Volume (Year): 8 (1999)
Issue (Month): 1 (April)
Pages: 25-47

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Handle: RePEc:spr:stmapp:v:8:y:1999:i:1:p:25-47

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Web page: http://link.springer.de/link/service/journals/10260/index.htm

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Related research

Keywords: Stock price dynamics; price barriers; market efficiency;

References

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  1. De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom, 1998. "On the hypothesis of psychological barriers in stock markets and Benford's Law," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 263-279, September.
  2. Svensson, L.E.O., 1990. "The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data," Papers 466, Stockholm - International Economic Studies.
  3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  4. Froot, Kenneth & Obstfeld, Maurice, 1991. "Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach," CEPR Discussion Papers 522, C.E.P.R. Discussion Papers.
  5. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  6. 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.
  7. Pierluigi Balduzzi & Silverio Foresi & David Hait, 1996. ""Price Barriers" and the Dynamics of Asset Prices in Equilibrium," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-11, New York University, Leonard N. Stern School of Business-.
  8. CALCAGNO, Riccardo & LOVO, Stefano M., 1998. "Bid-ask price competition with asymmetric information between market makers," CORE Discussion Papers 1998016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. Calcagno, Riccardo & Lovo, Stefano M., 1998. "Bid-Ask Price Competition with Asymmetric Information between Market Makers," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1998012, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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