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Cross-autocorrelation in Asian stock markets
16 references·5 citing·49 second hop
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References

  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1995Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior1,177 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1993Investment Analysis and the Adjustment of Stock Prices to Common Information640 cited
  • 1988Time-Variation in Expected Returns465 cited
  • 1994Behavioral Capital Asset Pricing Theory465 cited
  • 1995Anatomy of the trading process empirical evidence on the behavior of institutional traders435 cited
  • 1994A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns374 cited
  • 1995Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns331 cited
  • 1996Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns274 cited
  • 1993Portfolio return autocorrelation266 cited
  • 1994Good news, bad news and international spillovers of stock return volatility between Japan and the U.S.223 cited
  • 1989Mean Reversion in Short-Horizon Expected Returns

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191 cited
  • 1993Imperfect Information and Cross-Autocorrelation Among Stock Prices158 cited
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    • 2004A cointegration approach to the lead–lag effect among size-sorted equity portfolios34 cited
    • 2014Short-selling bans and institutional investors' herding behaviour: Evidence from the global financial crisis30 cited
    • 2010Efficient markets hypothesis and daily variation in small Pacific‐basin stock markets25 cited
    • 2004The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market25 cited
    • 2003Taiwan stock market and four-moment asset pricing model20 cited