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Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market
16 references·8 citing·43 second hop
Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market (1998)Daily serial correlation, trading volume …Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesMarket Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns (1994)A Tale of Three Schools: Insi…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data (1992)Feedback Traders and Stock Re…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Circuit breakers as market stability levers: A survey of research, praxis, and challenges (2018)Circuit breakers as market st…Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models (2016)Stock return autocorrelations…The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases? (2015)The 52-week high and momentum…Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks (2013)Effectiveness, cause and impa…Contrarian and momentum returns on Iran's Tehran Stock Exchange (2006)Contrarian and momentum retur…Asymmetric responses of international stock markets to trading volume (2005)Asymmetric responses of inter…Price limits on a call auction market: Evidence from the Warsaw Stock Exchange (2004)Price limits on a call auctio…Tests of regime-switching CAPM under price limits (2003)Tests of regime-switching CAP…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Expected stock returns and volatility (1987)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Expected Stock Returns and Variance Risk Premia (2009)The Noise Trader Approach to Finance (1990)Do Industries Explain Momentum? (1999)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)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)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1992Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data384 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited

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  • 1994A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns374 cited
  • Cited by

    • 2015The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases?44 cited
    • 2013Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks42 cited
    • 2006Contrarian and momentum returns on Iran's Tehran Stock Exchange34 cited
    • 2005Asymmetric responses of international stock markets to trading volume33 cited
    • 2016Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models28 cited
    • 2004Price limits on a call auction market: Evidence from the Warsaw Stock Exchange27 cited
    • 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges27 cited
    • 2003Tests of regime-switching CAPM under price limits25 cited