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On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange
16 references·5 citing·36 second hop
On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange (1997)On the validity of the weak-form efficien…A test for independence based on the correlation dimension (1996)A test for independence based…The journal of financial economics (1993)The journal of financial econ…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Drawing inferences from statistics based on multiyear asset returns (1989)Drawing inferences from stati…The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation (1988)The Size and Power of the Var…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence (1988)Mean Reversion in Stock Price…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…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 …The Weak-form Efficiency of Chinese Stock Markets (2009)The Weak-form Efficiency of C…Testing weak‐form efficiency in the Bahrain stock market (2008)Testing weak‐form efficiency …The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics (2006)The Evolving and Relative Eff…Tests of weak form efficiency in the Middle East emerging markets (2006)Tests of weak form efficiency…Events that Shook the Market: An Insight from Nonlinear Serial Dependencies in Intraday Returns (2006)Events that Shook the Market:…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)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)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Institutional Investors and Equity Prices (2001)Relational Contracts and the Theory of the Firm (2002)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)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 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
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1993The journal of financial economics2,544 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation419 cited
  • 1989Drawing inferences from statistics based on multiyear asset returns

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410 cited
  • 1988Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence104 cited
  • Cited by

    • 2008Testing weak‐form efficiency in the Bahrain stock market47 cited
    • 2006Tests of weak form efficiency in the Middle East emerging markets46 cited
    • 2009The Weak-form Efficiency of Chinese Stock Markets39 cited
    • 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics27 cited
    • 2006Events that Shook the Market: An Insight from Nonlinear Serial Dependencies in Intraday Returns25 cited