Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models
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DOI: 10.1016/j.econmod.2016.09.024
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More about this item
Keywords
Stock return autocorrelations; Predictability; Chinese stock market; Threshold quantile autoregressive model;All these keywords.
JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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