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Components of short-horizon individual security returns

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Cited by:

  1. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
  2. AltInkIlIç, Oya & Hansen, Robert S., 2009. "On the information role of stock recommendation revisions," Journal of Accounting and Economics, Elsevier, vol. 48(1), pages 17-36, October.
  3. Chen, Carl R. & Su, Yuli & Huang, Ying, 2008. "Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 789-798, September.
  4. Hou, Yang & Li, Steven, 2014. "The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 319-337.
  5. Allaudeen Hameed, 1997. "Time-Varying Factors And Cross-Autocorrelations In Short-Horizon Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 435-458, December.
  6. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(4), pages 953-986, August.
  7. Bremer, Marc & Hiraki, Takato, 1999. "Volume and individual security returns on the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 351-370, August.
  8. Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
  9. P. L. Chelley-Steeley, 2000. "Exchange controls and the transmission of equity market volatility: the case of the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 317-322.
  10. Minye Zhang & Yongheng Deng, 2010. "Is the Mean Return of Hotel Real Estate Stocks Apt to Overreact to Past Performance?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 497-543, May.
  11. George, Thomas J. & Hwang, Chuan-Yang, 1998. "Endogenous market statistics and security pricing:: An empirical investigation," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 285-319, September.
  12. Paul Docherty & Steve Easton, 2012. "Market efficiency and continuous information arrival: evidence from prediction markets," Applied Economics, Taylor & Francis Journals, vol. 44(19), pages 2461-2471, July.
  13. Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  14. Simon Gervais & Ron Kaniel & Dan H. Mingelgrin, 2001. "The High‐Volume Return Premium," Journal of Finance, American Finance Association, vol. 56(3), pages 877-919, June.
  15. Andreea-Cristina PETRICĂ & Stelian STANCU & Alexandru TINDECHE, 2016. "Limitation of ARIMA models in financial and monetary economics," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 19-42, Winter.
  16. Francesco, Guidi, 2008. "European Central Bank and Federal Reserve USA: monetary policy effects on the returns volatility of the Italian Stock Market Index Mibtel," MPRA Paper 10759, University Library of Munich, Germany.
  17. Hung-Gay Fung & Wai K. Leung & Gary A. Patterson, 1999. "Do Trading Rules Based upon Winners and Losers Work Across Markets? Evidence from the Pacific Basin and U.S. Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 3(1), pages 41-70, March.
  18. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  19. Alsubaie, Abdullah & Najand, Mohammad, 2009. "Abnormal trading volume and autoregressive behavior in weekly stock returns in the Saudi stock market," Emerging Markets Review, Elsevier, vol. 10(3), pages 207-225, September.
  20. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
  21. Shen, Chung-Hua & Wang, Lee-Rong, 1998. "Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 251-273, August.
  22. Asheesh Pandey & Sanjay Sehgal, 2016. "Explaining Size Effect for Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 45-68, March.
  23. Baltussen, Guido & van Bekkum, Sjoerd & Da, Zhi, 2019. "Indexing and stock market serial dependence around the world," Journal of Financial Economics, Elsevier, vol. 132(1), pages 26-48.
  24. Sung‐Hun Kim & Joseph P. Ogden, 1996. "Determinants of the components of bid‐ask spreads on stocks," European Financial Management, European Financial Management Association, vol. 2(1), pages 127-145, March.
  25. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
  26. Kamara, Avraham & Koski, Jennifer Lynch, 2001. "Volatility, autocorrelations, and trading activity after stock splits," Journal of Financial Markets, Elsevier, vol. 4(2), pages 163-184, April.
  27. Parisi, Franco & Acevedo, Carlos, 2001. "Volume and autocovariance in short-horizon stock returns: Evidence from 1992 to 1998 in Chile," International Review of Financial Analysis, Elsevier, vol. 10(3), pages 275-285.
  28. Andreea-Cristina PETRICĂ & Stelian STANCU & Alexandru TINDECHE, 2016. "Limitation of ARIMA models in financial and monetary economics," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 19-42, Winter.
  29. Sanjay Sehgal & Sakshi Jain & Pr Laurence the Porteu de la Morandiere, 2013. "Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 53-78.
  30. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
  31. Friesen, Geoffrey C. & Weller, Paul A. & Dunham, Lee M., 2009. "Price trends and patterns in technical analysis: A theoretical and empirical examination," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1089-1100, June.
  32. Bohl, Martin T. & Pütz, Alexander & Sulewski, Christoph, 2021. "Speculation and the informational efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 23(C).
  33. Ahmed Imran Hunjra & Tahar Tayachi & Rashid Mehmood & Sidra Malik & Zoya Malik, 2020. "Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets," Risks, MDPI, vol. 8(2), pages 1-14, April.
  34. Terrance Grieb & Mario G. Reyes, 1999. "Random Walk Tests For Latin American Equity Indexes And Individual Firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 371-383, December.
  35. John Hatgioannides & Spiros Mesomeris, 2005. "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005 64, Money Macro and Finance Research Group.
  36. Alsubaie, Abdullah & Najand, Mohammad, 2009. "Trading volume, time-varying conditional volatility, and asymmetric volatility spillover in the Saudi stock market," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 139-159, April.
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