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Correlation and return dispersion dynamics in Chinese markets

  • Demirer, RIza
  • Lien, Donald

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File URL: http://www.sciencedirect.com/science/article/B6W4W-4DVBBR5-1/2/b23f284758bf2e8a779632a432244959
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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 14 (2005)
Issue (Month): 4 ()
Pages: 477-491

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Handle: RePEc:eee:finana:v:14:y:2005:i:4:p:477-491
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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  1. Stivers, Christopher T., 2003. "Firm-level return dispersion and the future volatility of aggregate stock market returns," Journal of Financial Markets, Elsevier, vol. 6(3), pages 389-411, May.
  2. Belton Fleisher & Dongwei Su, 1998. "Why Does Return Volatility Differ in Chinese Stock Markets?," Working Papers 98-03, Ohio State University, Department of Economics.
  3. Aneja, Yash P & Chandra, Ramesh & Gunay, Erdal, 1989. " A Portfolio Approach to Estimating the Average Correlation Coefficient for the Constant Correlation Model," Journal of Finance, American Finance Association, vol. 44(5), pages 1435-38, December.
  4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  5. John Y. Campbell, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, 02.
  6. D. Michael Long & Janet D. Payne & Chenyang Feng, 1999. "Information Transmission In The Shanghai Equity Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 29-45, 03.
  7. Sun, Qian & Tong, Wilson H. S., 2000. "The effect of market segmentation on stock prices: The China syndrome," Journal of Banking & Finance, Elsevier, vol. 24(12), pages 1875-1902, December.
  8. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
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