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Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic
15 references·1 citing·48 second hop
Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic (2007)Price limits and stock market efficiency:…Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets (2007)Nonlinear serial dependence a…Financial crisis and stock market efficiency: Empirical evidence from Asian countries (2007)Financial crisis and stock ma…Ranking market efficiency for stock markets: A nonlinear perspective (2006)Ranking market efficiency for…Persistence characteristics of the Chinese stock markets (2006)Persistence characteristics o…Asymmetry and long-memory volatility: Some empirical evidence using GARCH (2006)Asymmetry and long-memory vol…What Makes Circuit Breakers Attractive to Financial Markets? A Survey (2004)What Makes Circuit Breakers A…Ranking efficiency for emerging markets (2004)Ranking efficiency for emergi…Ranking efficiency for emerging equity markets II☆ (2004)Ranking efficiency for emergi…A note on price limit performance: The case of illiquid stocks (2004)A note on price limit perform…China: Further Evidence on the Evolution of Stock Markets in Transition Economies (2003)China: Further Evidence on th…Korean stock prices under price limits: variance ratio tests of random walks (2002)Korean stock prices under pri…Price limits and stock market volatility (2001)Price limits and stock market…A variance ratio test of the random walk hypothesis for Taiwan's stock market (2000)A variance ratio test of the …Price limits and stock market volatility in Taiwan (1993)Price limits and stock market…Black Monday and the future of financial markets (1989)Black Monday and the future o…The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets (2013)The influence of foreign port…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Analysis of market efficiency for the Shanghai stock market over time (2010)Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012)The Econometrics of Financial Markets (2012)Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic (2021)Efficient Capital Markets: II (1991)Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies (2008)An update on speculation and financialization in commodity markets (2018)Metahuman systems = humans + machines that learn (2020)The Econometrics of Financial Markets (1997)The current state of Asia-Pacific stock exchanges: A critical review of market design (2005)Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets: Comparative Tests of Random Walk Behaviour (2006)Do foreign investors destabilize stock markets? 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References

  • 2007Financial crisis and stock market efficiency: Empirical evidence from Asian countries255 cited
  • 1989Black Monday and the future of financial markets249 cited
  • 2004Ranking efficiency for emerging markets209 cited
  • 2006Ranking market efficiency for stock markets: A nonlinear perspective137 cited
  • 2004Ranking efficiency for emerging equity markets II☆131 cited
  • 2001Price limits and stock market volatility101 cited
  • 2002Korean stock prices under price limits: variance ratio tests of random walks89 cited
  • 2004What Makes Circuit Breakers Attractive to Financial Markets? A Survey86 cited
  • 2007Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets84 cited
  • 2000A variance ratio test of the random walk hypothesis for Taiwan's stock market82 cited
  • 2006Persistence characteristics of the Chinese stock markets72 cited
  • 1993Price limits and stock market volatility in Taiwan71 cited
  • 2006Asymmetry and long-memory volatility: Some empirical evidence using GARCH53 cited
  • 2003China: Further Evidence on the Evolution of Stock Markets in Transition Economies43 cited
  • 2004A note on price limit performance: The case of illiquid stocks

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  • 2013The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets21 cited