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New trading practices and short‐run market efficiency
16 references·8 citing·33 second hop
New trading practices and short‐run market efficiency (1995)New trading practices and short‐run marke…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesWhen Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Speculative Dynamics and the Role of Feedback Traders (1990)Speculative Dynamics and the …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…S&P 500 Cash Stock Price Volatilities (1989)S&P 500 Cash Stock Price Vola…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Mean reversion in stock prices (1988)Mean reversion in stock pricesIndex-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Index-Futures Arbitrage and t…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Nonsynchronous Security Trading and Market Index Autocorrelation (1987)Nonsynchronous Security Tradi…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Stock return variances (1986)Stock return variancesContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns (2023)The impacts of futures tradin…Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models (2022)Does Bitcoin futures trading …Multifractal detrended fluctuation analysis of the Chinese stock index futures market (2012)Multifractal detrended fluctu…Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience (2007)Securities Transaction Tax an…Modelling Realized Variance when Returns are Serially Correlated (2004)Modelling Realized Variance w…INFORMATION, TRADING VOLUME AND INTERNATIONAL STOCK MARKET COMOVEMENTS (2004)INFORMATION, TRADING VOLUME A…Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns (2001)Volatility dynamics in high f…Dispersion and Volatility in Stock Returns: An Empirical Investigation (1999)Dispersion and Volatility in …The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Asset Prices in an Exchange Economy (1978)Does the Stock Market Overreact? (1985)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Specification Tests in Econometrics (1978)Multifactor Explanations of Asset Pricing Anomalies (1996)Noise Trader Risk in Financial Markets (1990)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)Efficient Capital Markets: II (1991)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1986Stock return variances1,813 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1990Speculative Dynamics and the Role of Feedback Traders454 cited
  • 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
  • 1989S&P 500 Cash Stock Price Volatilities262 cited
  • 1987Nonsynchronous Security Trading and Market Index Autocorrelation

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198 cited

Cited by

  • 2012Multifractal detrended fluctuation analysis of the Chinese stock index futures market74 cited
  • 2004Modelling Realized Variance when Returns are Serially Correlated48 cited
  • 2007Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience38 cited
  • 1999Dispersion and Volatility in Stock Returns: An Empirical Investigation34 cited
  • 2022Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models28 cited
  • 2023The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns26 cited
  • 2004INFORMATION, TRADING VOLUME AND INTERNATIONAL STOCK MARKET COMOVEMENTS24 cited
  • 2001Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns23 cited