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Cross-autocorrelation in Asian stock markets · Study

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ArticleCross-autocorrelation in Asian stock markets

Eric Chieh C. Chang1999

Article1999

Cross-autocorrelation in Asian stock markets

Eric Chieh C. Chang · Grant McQueen · J. Michael Pinegar

48 citations·0/0 files stored·Pacific-Basin Finance Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

2000Conditional Skewness in Asset Pricing Tests 1990When Are Contrarian Profits Due to Stock Market Overreaction?1995Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements 1989An Econometric Analysis of Nonsynchronous Trading 1993Investment Analysis and the Adjustment of Stock Prices to Common Information 1994Behavioral Capital Asset Pricing Theory 1988Time-Variation in Expected Returns

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2004A cointegration approach to the lead–lag effect among size-sorted equity portfolios 2014Short-selling bans and institutional investors' herding behaviour: Evidence from the global financial crisis 2010Efficient markets hypothesis and daily variation in small Pacific‐basin stock markets 2004The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market

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Details

Year1999

Typearticle

Published1999-12-01

VenuePacific-Basin Finance Journal

ISSN-L0927-538X

Languageen

Citations48

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0927-538x(99)00021-9

openalex_workW3121864152

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