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A long memory property of stock market returns and a new model
, 1993Zhuanxin Ding, C. Granger, R. Engle
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Return autocorrelations in the stock markets
Applied Economics Letters, 2009This article investigates the return autocorrelation in four stock markets around the Asia-Pacific rim: the USA, Japan, Taiwan and South Korea. The results indicate that there are conditional return autocorrelation in Taiwan's and South Korea's stock markets for daily data.
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The Effect of US Stock Market Uncertainty on Emerging Market Returns
, 2017G. Sarwar, Walayet A. Khan
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Analysis of Stock Market Returns
2000In this chapter we use our battery of nonlinearity tests to study the time series properties of growth rates in common stock prices at different levels of time aggregation. Financial economists call such growth rates “rates of return,” and express them as decimal fractions. We also look at the effect of “hard clipping” the data in order to separate the
Douglas M. Patterson, Richard A. Ashley
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Volume and stock returns in the Chinese market
International Review of Financial Analysis, 2023Yi Fang +3 more
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Stock Market Return Volatility
2019Volatility is a measure of dispersion around the mean or average return of a security. One way to measure volatility is by using the standard deviation, which tells you how tightly the price of a stock is grouped around the mean or moving average.
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Real stock market returns and inflation: Evidence from uncertainty hypotheses
Finance Research Letters, 2023Thomas C Chiang
exaly
Stock Market Sentiment and Stock Returns
The Korean Data Analysis Society, 2018Taehyuk Kim, Hoyoung Ryu
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Media sentiment and cross-sectional stock returns in the Chinese stock market
Research in International Business and Finance, 2022Jing Hao, Feng He
exaly