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Stock Price Volatility: Tests Based on the Geometric Random Walk

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  • LeRoy, Stephen F
  • Parke, William R

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Suggested Citation

  • LeRoy, Stephen F & Parke, William R, 1992. "Stock Price Volatility: Tests Based on the Geometric Random Walk," American Economic Review, American Economic Association, vol. 82(4), pages 981-992, September.
  • Handle: RePEc:aea:aecrev:v:82:y:1992:i:4:p:981-92
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    Cited by:

    1. Allen, Franklin & Gale, Douglas, 1995. "A welfare comparison of intermediaries and financial markets in Germany and the US," European Economic Review, Elsevier, vol. 39(2), pages 179-209, February.
    2. Kearney, Colm & Daly, Kevin, 1997. "Monetary volatility and real output volatility: An empirical model of the financial transmission mechanism in Australia," International Review of Financial Analysis, Elsevier, vol. 6(2), pages 77-95.
    3. Ian Tonks & Andy Snell & George Bulkley, 1996. "Excessive Dispersion of US Stock Prices: A Regression Test of Cross-Sectional Volatility," FMG Discussion Papers dp246, Financial Markets Group.
    4. repec:bbz:fcpbbr:v:9:y:2012:i:4:p:51-86 is not listed on IDEAS
    5. repec:dgr:rugsom:02e40 is not listed on IDEAS
    6. Au, Pak Hung, 2016. "Price reaction and disagreement over public signal," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 81-106.
    7. Jong, Eelke de & Semenov, Radislav, 2002. "Cross-country differences in stock market development : a cultural view," Research Report 02E40, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    8. Keith Anderson & Chris Brooks & Apostolos Katsaris, 2013. "Testing for speculative bubbles in asset prices," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 3, pages 73-94 Edward Elgar Publishing.
    9. Shawky, Hany A. & Marathe, Achla, 1995. "Expected stock returns and volatility in a two-regime market," Journal of Economics and Business, Elsevier, vol. 47(5), pages 409-421, December.
    10. Hee-Joon Ahn, 2014. "Does Trading by Small Investors Improve or Deteriorate Price Efficiency? Evidence from the Minimum Trade Unit Changes on the Korea Exchange," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 2(2), pages 1-17, May.
    11. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Melvin, Michael, 2014. "Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 163-181.
    12. Jitka Veselá, 2011. "Factors of Occurrence of Speculative Bubbles on the Financial Markets," Český finanční a účetní časopis, University of Economics, Prague, vol. 2011(3), pages 6-21.
    13. Charemza, Wojciech W. & Deadman, Derek F., 1995. "Speculative bubbles with stochastic explosive roots: The failure of unit root testing," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 153-163, June.
    14. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 469-491, October.

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