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Long-term and short-term price memory in the stock market
16 references·6 citing·29 second hop
Long-term and short-term price memory in the stock market (1995)Long-term and short-term price memory in …A simple multiple variance ratio test (1993)A simple multiple variance ra…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Vas Ist Das? (1983)Vas Ist Das?The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…A Possible Explanation of the Small Firm Effect (1981)A Possible Explanation of the…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis (1972)Statistical Methodology for N…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 …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Théorie de la spéculation (1900)Théorie de la spéculationBeyond the Boundary: New Insights from Inside the Space-Time Prism (2014)Beyond the Boundary: New Insi…LONG MEMORY IN SOUTHERN AFRICAN STOCK MARKETS (2008)LONG MEMORY IN SOUTHERN AFRIC…Dependence and mean reversion in stock prices: The case of the MENA region (2005)Dependence and mean reversion…THE EFFICIENCY OF THE JAPANESE EQUITY MARKET (2003)THE EFFICIENCY OF THE JAPANES…Long-term memory in stock market volatility (2000)Long-term memory in stock mar…Long term dependence in stock returns (1996)Long term dependence in stock…Statistical principles in experimental design. (1962)Book Review: Time Series Analysis: Forecasting and Control (1977)Predicting returns in the stock and bond markets (1986)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling and pricing long memory in stock market volatility (1996)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)The Relation Between Price Changes and Trading Volume: A Survey (1987)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The econometrics of financial markets (1996)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*23,066 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1983Size-related anomalies and stock return seasonality1,842 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1993A simple multiple variance ratio test496 cited
  • 1972Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis438 cited
  • 1981A Possible Explanation of the Small Firm Effect432 cited
  • 1983

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Vas Ist Das?
429 cited

Cited by

  • 1996Long term dependence in stock returns98 cited
  • 2005Dependence and mean reversion in stock prices: The case of the MENA region38 cited
  • 2003THE EFFICIENCY OF THE JAPANESE EQUITY MARKET31 cited
  • 2000Long-term memory in stock market volatility31 cited
  • 2008LONG MEMORY IN SOUTHERN AFRICAN STOCK MARKETS24 cited
  • 2014Beyond the Boundary: New Insights from Inside the Space-Time Prism3 cited