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Dependence and mean reversion in stock prices: The case of the MENA region

  • Assaf, A.
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    File URL: http://www.sciencedirect.com/science/article/B7CPK-4GM4693-1/2/93f3ca54883086c2fbe9b07deaf2a323
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    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 20 (2006)
    Issue (Month): 3 (September)
    Pages: 286-304

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    Handle: RePEc:eee:riibaf:v:20:y:2006:i:3:p:286-304
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    19. Victor Chow, K. & Denning, Karen C. & Ferris, Stephen & Noronha, Gregory, 1995. "Long-term and short-term price memory in the stock market," Economics Letters, Elsevier, vol. 49(3), pages 287-293, September.
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    21. James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
    22. B. Mandelbrot, 1972. "Statistical Methodology For Nonperiodic Cycles: From The Covariance To Rs Analysis," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290 National Bureau of Economic Research, Inc.
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    29. Darrat, Ali F. & Pennathur, Anita, 2002. "Are the Arab Maghreb countries really integratable?: Some evidence from the theory of cointegrated systems," Review of Financial Economics, Elsevier, vol. 11(2), pages 79-90.
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