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Korean stock prices under price limits: variance ratio tests of random walks
13 references·16 citing·44 second hop
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Part I: A Macroeconomic Overview (1998)What Caused the Asian Currenc…What Caused the Asian Currency and Financial Crisis (1998)What Caused the Asian Currenc…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…A simple multiple variance ratio test (1993)A simple multiple variance ra…Pacific-basin capital markets research (1990)Pacific-basin capital markets…Volatility, price resolution, and the effectiveness of price limits (1989)Volatility, price resolution,…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…A theory of price limits in futures markets (1986)A theory of price limits in f…Toward a Fully Automated Stock Exchange, Part I (1971)Toward a Fully Automated Stoc…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Circuit breakers as market stability levers: A survey of research, praxis, and challenges (2018)Circuit breakers as market st…Extreme returns in emerging stock markets: evidence of a MAX effect in South Korea (2014)Extreme returns in emerging s…Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets (2013)Price limit bands, asymmetric…Testing Weak form Efficiency in the Indian Capital Market (2011)Testing Weak form Efficiency …Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices (2011)Predictability and Persistenc…How Asian and Global Economic crises Prevail in Chinese IPO and Stock Market Efficiency (2011)How Asian and Global Economic…Testing the Predictability and Efficiency of Securitized Real Estate Markets (2010)Testing the Predictability an…Efficiency, Cointegration and Contagion in Equity Markets: Evidence from China, Japan and South Korea* (2009)Efficiency, Cointegration and…Random walks in Middle Eastern stock markets (2007)Random walks in Middle Easter…Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic (2007)Price limits and stock market…Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets: Comparative Tests of Random Walk Behaviour (2006)Weak-Form Market Efficiency i…The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics (2006)The Evolving and Relative Eff…Efficiency tests of the UK financial futures markets and the impact of electronic trading systems (2006)Efficiency tests of the UK fi…The current state of Asia-Pacific stock exchanges: A critical review of market design (2005)The current state of Asia-Pac…What Makes Circuit Breakers Attractive to Financial Markets? 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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1999What caused the Asian currency and financial crisis?915 cited
  • 1993A simple multiple variance ratio test496 cited
  • 1998What Caused the Asian Currency and Financial Crisis? Part I: A Macroeconomic Overview396 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited
  • 1990Pacific-basin capital markets research232 cited
  • 1986A theory of price limits in futures markets211 cited
  • 1971Toward a Fully Automated Stock Exchange, Part I193 cited
  • 1998What Caused the Asian Currency and Financial Crisis132 cited
  • 1989Volatility, price resolution, and the effectiveness of price limits96 cited

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  • 2004What Makes Circuit Breakers Attractive to Financial Markets? A Survey86 cited
  • 2005The current state of Asia-Pacific stock exchanges: A critical review of market design

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71 cited
  • 2006Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets: Comparative Tests of Random Walk Behaviour59 cited
  • 2014Extreme returns in emerging stock markets: evidence of a MAX effect in South Korea47 cited
  • 2007Random walks in Middle Eastern stock markets47 cited
  • 2003Weak-form market efficiency in European emerging and developed stock markets43 cited
  • 2011Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices36 cited
  • 2009Efficiency, Cointegration and Contagion in Equity Markets: Evidence from China, Japan and South Korea*32 cited
  • 2006Efficiency tests of the UK financial futures markets and the impact of electronic trading systems30 cited
  • 2011How Asian and Global Economic crises Prevail in Chinese IPO and Stock Market Efficiency28 cited
  • 2011Testing Weak form Efficiency in the Indian Capital Market27 cited
  • 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges27 cited
  • 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics27 cited
  • 2013Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets26 cited
  • 2007Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic25 cited
  • 2010Testing the Predictability and Efficiency of Securitized Real Estate Markets25 cited