Are UK Stock Prices Excessively Volatile? Trading Rules and Variance Bound Tests

George Bulkley · Ian Tonks

64 citations0/0 files storedThe Economic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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George Bulkley, Ian Tonks; Are UK Stock Prices Excessively Volatile? Trading Rules and Variance Bound Tests, The Economic Journal, Volume 99, Issue 398, 1 Decem

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1985The equity premium: A puzzle 1961Rational Expectations and the Theory of Price Movements 1982Trends and random walks in macroeconmic time series 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1987Mean Reversion in Stock Prices: Evidence and Implications 1984Stock Prices and Social Dynamics 1978Some anomalous evidence regarding market efficiency

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2002NEW INDICES OF BRITISH EQUITY PRICES, 1870–1913 1996GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets 2004The Comovement of US and UK Stock Markets 2008Capitalizing on Catastrophe: Short Selling Insurance Stocks Around Hurricanes Katrina and Rita 2017Insider Trading and the Post-Earnings Announcement Drift 1999Explaining movements in UK stock prices

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