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Anthony Yanxiang Gu

Personal Details

First Name:Anthony Yanxiang
Middle Name:
Last Name:Gu
Suffix:
RePEc Short-ID:pgu385
[This author has chosen not to make the email address public]
http://geneseo.edu/~gu

Affiliation

School of Business
State University of New York College-Geneseo

Geneseo, New York (United States)
http://www.geneseo.edu/business
RePEc:edi:sbgenus (more details at EDIRC)

Research output

as
Jump to: Articles Chapters

Articles

  1. Anthony Yanxiang Gu, 2013. "A Possible Method for Warning of House Price Bubble," International Journal of Business and Social Research, LAR Center Press, vol. 3(2), pages 104-113, February.
  2. Yongjian E & Anthony Yanxiang Gu & Chau-Chen Yang, 2009. "Real Exchange Rate Behavior under Peg: Evidence from the Chinese RMB and Malaysian MYR," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 141-158.
  3. Anthony Yanxiang Gu & Chauchen Yang, 2007. "Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 469-478.
  4. Guobing Shen & Anthony Yanxiang Gu, 2007. "Revealed Comparative Advantage, Intra‐industry Trade and the US Manufacturing Trade Deficit with China," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 15(6), pages 87-103, November.
  5. Richard J. Buttimer Jr. & Anthony Yanxiang Gu & Tyler T. Yang, 2004. "The Chinese Housing Provident Fund," International Real Estate Review, Global Social Science Institute, vol. 7(1), pages 1-30.
  6. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.
  7. Gu, Anthony Yanxiang & Schinski, Michael, 2003. "Patriotic Stock Repurchases: The Two Weeks Following the 9-11 Attack," Review of Quantitative Finance and Accounting, Springer, vol. 20(3), pages 267-276, May.
  8. Anthony Yanxiang Gu, 2003. "Rent Control And Its Reform In China," New York Economic Review, New York State Economics Association (NYSEA), vol. 34(1), pages 63-74.
  9. Anthony Yanxiang Gu & Joseph W. Trefzger, 2003. "Mortgage Payment as a Portion of Income: A Better Solution," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 121-135.
  10. Gu, Anthony Yanxiang, 2003. "The declining January effect: evidences from the U.S. equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 395-404.
  11. Anthony Yanxiang Gu, 2003. "A trend towards being normal: the 'A' share experience on the Shanghai stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(5), pages 379-385.
  12. Anthony Yanxiang Gu, 2002. "Valuing the Option to Purchase an Asset at a Proportional Discount," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(1), pages 99-109, March.
  13. Gu, Anthony Yanxiang & Finnerty, Joseph, 2002. "The Evolution of Market Efficiency: 103 Years Daily Data of the Dow," Review of Quantitative Finance and Accounting, Springer, vol. 18(3), pages 219-237, May.
  14. Anthony Y. Gu, 2002. "The Predictability of House Prices," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 213-234.
  15. Anthony Yanxiang Gu, 2002. "Increasing Block Transactions and Stock Market Behavior," New York Economic Review, New York State Economics Association (NYSEA), vol. 33(1), pages 67-74.
  16. Anthony Yanxiang Gu & Joseph W. Trefzger, 2000. "Make It Simple and Light: Some Thoughts on Real Estate Related Taxation in China," International Real Estate Review, Global Social Science Institute, vol. 3(1), pages 142-161.

Chapters

  1. Anthony Yanxiang Gu & John T. Simon, 2007. "The September Phenomenon of US Equity Market," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting, chapter 14, pages 283-297, World Scientific Publishing Co. Pte. Ltd..

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Yongjian E & Anthony Yanxiang Gu & Chau-Chen Yang, 2009. "Real Exchange Rate Behavior under Peg: Evidence from the Chinese RMB and Malaysian MYR," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 141-158.

    Cited by:

    1. Angelos Kanas & Angelos Kotios & Panagiotis D. Zervopoulos, 2019. "Semi-parametric real exchange rates dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 643-656, February.

  2. Anthony Yanxiang Gu & Chauchen Yang, 2007. "Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 469-478.

    Cited by:

    1. Chih-Hsiang Chang & Wen-Shan Chiang, 2014. "Conditioned Responses towards Measures Relating to the Capital Cost of Short Sellers: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-27.
    2. Tyler R. Henry, 2019. "Security price formation and informed trading with constrained short selling," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 123-151, July.
    3. Benjamin Blau & Chip Wade, 2013. "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 567-583, October.

  3. Guobing Shen & Anthony Yanxiang Gu, 2007. "Revealed Comparative Advantage, Intra‐industry Trade and the US Manufacturing Trade Deficit with China," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 15(6), pages 87-103, November.

    Cited by:

    1. Sawyer, William C. & Sprinkle, Richard L. & Tochkov, Kiril, 2010. "Patterns and determinants of intra-industry trade in Asia," Journal of Asian Economics, Elsevier, vol. 21(5), pages 485-493, October.

  4. Richard J. Buttimer Jr. & Anthony Yanxiang Gu & Tyler T. Yang, 2004. "The Chinese Housing Provident Fund," International Real Estate Review, Global Social Science Institute, vol. 7(1), pages 1-30.

    Cited by:

    1. Liming Yao & Michael White & Alla Koblyakova, 2015. "House price appreciation and housing affordability: a study of younger households tenure choice in China," ERES eres2015_44, European Real Estate Society (ERES).
    2. Xiang Zhang & Yanhuang Zheng & Chuanhao Tian, 2021. "Who Benefits from the Housing Provident Fund System in China? An Analysis of the Internal Rate of Return for Typical Employees with Different Incomes," Sustainability, MDPI, vol. 13(9), pages 1-18, April.
    3. Kazuya Tani & Yoshiyuki Kikuchi & Hideo Takaoka & Shubin Lin, 2014. "Housing Acquisition Process for Public Housing and Commodity Housing in Shanghai: A Survey of Residents," International Real Estate Review, Global Social Science Institute, vol. 17(3), pages 415-444.
    4. Vincenzo Atella & Agar Brugiavini & Noemi Pace, 2013. "The health care system reform in China: effects on out-of-pocket expenses and saving," CEIS Research Paper 296, Tor Vergata University, CEIS, revised 22 Oct 2013.
    5. Zhou, Xiaoqing, 2020. "A quantitative evaluation of the Housing Provident Fund program in China," China Economic Review, Elsevier, vol. 61(C).
    6. Tang, Mingzhe & Coulson, N. Edward, 2017. "The impact of China's housing provident fund on homeownership, housing consumption and housing investment," Regional Science and Urban Economics, Elsevier, vol. 63(C), pages 25-37.
    7. Qianwei Ying & Danglun Luo & Jie Chen, 2013. "The Determinants of Homeownership Affordability among the ‘Sandwich Class’: Empirical Findings from Guangzhou, China," Urban Studies, Urban Studies Journal Limited, vol. 50(9), pages 1870-1888, July.
    8. Yilan Xu, 2017. "Mandatory savings, credit access and home ownership: The case of the housing provident fund," Urban Studies, Urban Studies Journal Limited, vol. 54(15), pages 3446-3463, November.
    9. Can Cui & Stan Geertman & Pieter Hooimeijer, 2015. "Residential Mobility of Skilled Migrants in Nanjing, China," Environment and Planning A, , vol. 47(3), pages 625-642, March.
    10. Claude Taffin & Roy Friedemann & Kim Kyung-Hwan, 2011. "Strategic Reorientation of the Housing Provident Fund System in the People's Republic of China," World Bank Publications - Reports 12780, The World Bank Group.
    11. Hiroshi Sato & Terry Sicular & Ximing Yue, 2011. "Housing Ownership, Incomes, and Inequality in China, 2002-2007," University of Western Ontario, Centre for Human Capital and Productivity (CHCP) Working Papers 201112, University of Western Ontario, Centre for Human Capital and Productivity (CHCP).

  5. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.

    Cited by:

    1. Leonard Grebe & Dirk Schiereck, 2024. "Day-of-the-week effect: a meta-analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(4), pages 1057-1094, December.
    2. Chen-Han Liu, 2024. "Exploring Calendar Effects in Bitcoin Returns: An Analysis of Market Efficiency," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 14(4), pages 1-3.
    3. Tienyu Hwang & Simon Gao & Heather Owen, 2014. "Markowitz efficiency and size effect: evidence from the UK stock market," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 721-750, November.
    4. Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015. "The Day-of-the-Week Effect is Weak: Evidence from the European Real Estate Sector," Working Paper series 15-19, Rimini Centre for Economic Analysis.
    5. Shlomo Zilca, 2017. "The evolution and cross-section of the day-of-the-week effect," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-12, December.
    6. Sakhr Miss & Michel Charifzadeh & Tim A. Herberger, 2020. "Revisiting the monday effect: a replication study for the German stock market," Management Review Quarterly, Springer, vol. 70(2), pages 257-273, May.
    7. Xiao Li & Bin Liu, 2021. "The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 449-467, September.
    8. Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
    9. Shlomo Zilca, 2017. "Day-of-the-week returns and mood: an exterior template approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-21, December.
    10. Olson, Dennis & Mossman, Charles & Chou, Nan-Ting, 2015. "The evolution of the weekend effect in US markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 56-63.
    11. Kaiser, Lars, 2019. "Seasonality in cryptocurrencies," Finance Research Letters, Elsevier, vol. 31(C).
    12. Anthony Yanxiang Gu, 2015. "The June Phenomenon and the Changing Month of the Year Effect," Accounting and Finance Research, Sciedu Press, vol. 4(3), pages 1-1, August.
    13. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    14. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
    15. Denis Boudreaux & Spuma Rao & Phillip Fuller, 2010. "An investigation of the weekend effect during different market orientations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(3), pages 257-268, July.

  6. Gu, Anthony Yanxiang & Schinski, Michael, 2003. "Patriotic Stock Repurchases: The Two Weeks Following the 9-11 Attack," Review of Quantitative Finance and Accounting, Springer, vol. 20(3), pages 267-276, May.

    Cited by:

    1. Ran Lu-Andrews & John L. Glascock, 2017. "Liquidity, Price Behavior, and Market-related Events," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(2), pages 318-351, March.

  7. Gu, Anthony Yanxiang, 2003. "The declining January effect: evidences from the U.S. equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 395-404.

    Cited by:

    1. Easterday, Kathryn E. & Sen, Pradyot K. & Stephan, Jens A., 2009. "The persistence of the small firm/January effect: Is it consistent with investors' learning and arbitrage efforts?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1172-1193, August.
    2. Wong, Wing-Keung & McAleer, Michael, 2009. "Mapping the Presidential Election Cycle in US stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(11), pages 3267-3277.
    3. Hira Irshad & Hasniza Mohd Taib, 2017. "Calendar anomalies: Review of literature," Journal of Advances in Humanities and Social Sciences, Dr. Yi-Hsing Hsieh, vol. 3(6), pages 303-310.
    4. Ali Akyol, 2011. "Stock returns around nontrading periods: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 21(20), pages 1549-1560.
    5. Agapova, Anna & Kaprielyan, Margarita, 2020. "Stock volatility and trading," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    6. Cristina Ortiz & Gloria Ramirez & Luis Vicente, 2010. "Quarterly return patterns in the Spanish stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(23), pages 1829-1838.
    7. Schmidbauer, Harald & Rösch, Angi & Uluceviz, Erhan, 2017. "Frequency aspects of information transmission in a network of three western equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 933-946.
    8. Krzysztof Borowski, 2016. "Analysis Of Monthly Rates Of Return In April On The Example Of Selected World Stock Exchange Indices," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(2), pages 307-325, June.
    9. Al-Khazali, Osamah M. & Koumanakos, Evangelos P. & Pyun, Chong Soo, 2008. "Calendar anomaly in the Greek stock market: Stochastic dominance analysis," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 461-474, June.
    10. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
    11. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2019. "An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China," Finance Research Letters, Elsevier, vol. 31(C).
    12. Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
    13. Vilija Aleknevičienė & Vaida Klasauskaitė & Eglė Aleknevičiūtė, 2022. "Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets," Journal of Baltic Studies, Taylor & Francis Journals, vol. 53(2), pages 187-210, April.
    14. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.
    15. Asness, Clifford & Frazzini, Andrea & Israel, Ronen & Moskowitz, Tobias J. & Pedersen, Lasse H., 2018. "Size matters, if you control your junk," Journal of Financial Economics, Elsevier, vol. 129(3), pages 479-509.
    16. Alin Marius ANDRIEŞ & Iulian IHNATOV & Nicu SPRINCEAN, 2017. "Do Seasonal Anomalies Still Exist In Central And Eastern European Countries? A Conditional Variance Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 60-83, December.
    17. Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.
    18. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
    19. Carlos Francisco Alves & Duarte André de Castro Reis, 2018. "Evidence of Idiosyncratic Seasonality in ETFs Performance," FEP Working Papers 603, Universidade do Porto, Faculdade de Economia do Porto.
    20. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
    21. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019. "Historical Evolution of Monthly Anomalies in International Stock Markets," Working Papers 201950, University of Pretoria, Department of Economics.
    22. Moller, Nicholas & Zilca, Shlomo, 2008. "The evolution of the January effect," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 447-457, March.
    23. Qadan, Mahmoud & Aharon, David Y. & Cohen, Gil, 2020. "Everybody likes shopping, including the US capital market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    24. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    25. Qadan, Mahmoud & Aharon, David Y., 2019. "Can investor sentiment predict the size premium?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 10-26.
    26. Seif, Mostafa & Docherty, Paul & Shamsuddin, Abul, 2017. "Seasonal anomalies in advanced emerging stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 169-181.
    27. Canegrati, Emanuele, 2008. "Testing the CAPM: Evidences from Italian Equity Markets," MPRA Paper 10407, University Library of Munich, Germany.
    28. Podgórski Błażej, 2018. "Impact of the January Effect on Return Rates in the Markets of the 2004 EU Enlargement," Journal of Management and Business Administration. Central Europe, Sciendo, vol. 26(1), pages 27-48, March.
    29. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Testing Calendar Effects of International Equity and Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 140-158, January.
    30. Arbab Khalid Cheema & Wenjie Ding & Qingwei Wang, 2023. "The cross-section of January effect," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 513-530, October.
    31. Tantisantiwong, Nongnuch & Halari, Anwar & Helliar, Christine & Power, David, 2018. "East meets West: When the Islamic and Gregorian calendars coincide," The British Accounting Review, Elsevier, vol. 50(4), pages 402-424.
    32. Gerardo ¡°Gerry¡± Alfonso Perez, 2018. "Does the January Effect Still Exists?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 50-73, January.

  8. Anthony Yanxiang Gu, 2003. "A trend towards being normal: the 'A' share experience on the Shanghai stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(5), pages 379-385.

    Cited by:

    1. Haini Deng & Gregor Dorfleitner, 2007. "Underpricing in Chinese IPOs-some recent evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 9-22.
    2. Fei Jiang & Lawrence A. Leger, 2010. "The impact on performance of IPO allocation reform," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 2(3), pages 251-272, August.

  9. Anthony Yanxiang Gu, 2002. "Valuing the Option to Purchase an Asset at a Proportional Discount," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(1), pages 99-109, March.

    Cited by:

    1. Lloyd Blenman & Steven Clark, 2005. "Options with Constant Underlying Elasticity in Strikes," Review of Derivatives Research, Springer, vol. 8(2), pages 67-83, August.
    2. Jackson J. Tan & Fernando L. Trinidad, 2018. "A real options model for loan portfolios of actively traded Philippine universal banks," Journal of Global Entrepreneurship Research, Springer;UNESCO Chair in Entrepreneurship, vol. 8(1), pages 1-24, December.
    3. Anthony Yanxiang Gu & Joseph W. Trefzger, 2003. "Mortgage Payment as a Portion of Income: A Better Solution," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 121-135.
    4. Navas, Javier F., 2009. "Valuing the option to purchase an asset at a proportional discount: A correction," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 720-724, May.

  10. Gu, Anthony Yanxiang & Finnerty, Joseph, 2002. "The Evolution of Market Efficiency: 103 Years Daily Data of the Dow," Review of Quantitative Finance and Accounting, Springer, vol. 18(3), pages 219-237, May.

    Cited by:

    1. Xu Li, 2011. "Behavioral theories and the pricing of IPOs’ discretionary current accruals," Review of Quantitative Finance and Accounting, Springer, vol. 37(1), pages 87-104, July.
    2. Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
    3. Verheyden, Tim & De Moor, Lieven & Van den Bossche, Filip, 2015. "Towards a new framework on efficient markets," Research in International Business and Finance, Elsevier, vol. 34(C), pages 294-308.
    4. Abul Shamsuddin & Jae H Kim, 2009. "Short-Horizon Return Predictability in International Equity Markets," Working Papers 2009.01, School of Economics, La Trobe University.
    5. Gelman, Sergey & Burhop, Carsten, 2008. "Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913," European Review of Economic History, Cambridge University Press, vol. 12(1), pages 39-66, April.
    6. Amélie Charles & Olivier Darné & Jae H. Kim, 2015. "Will precious metals shine ? A market efficiency perspective," Post-Print hal-01238706, HAL.
    7. Zaremba, Adam & Umutlu, Mehmet & Maydybura, Alina, 2020. "Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns," Journal of Banking & Finance, Elsevier, vol. 121(C).
    8. Amélie Charles & Olivier Darné & Jae H. Kim, 2014. "Precious metals shine? A market efficiency perspective," Working Papers hal-01010516, HAL.
    9. Debarati Bhattacharya & Wei-Hsien Li & Gokhan Sonaer, 2017. "Has momentum lost its momentum?," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 191-218, January.
    10. Kwang-il Choe & Joshua Krausz & Kiseok Nam, 2011. "Technical trading rules for nonlinear dynamics of stock returns: evidence from the G-7 stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 323-353, April.
    11. Lo, Melody & Lee, Cheng-Few, 2006. "A reexamination of the market efficiency hypothesis: Evidence from an electronic intra-day, inter-dealer FX market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 565-585, September.
    12. Jain, Pawan & Xue, Wenjun, 2017. "Global investigation of return autocorrelation and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 200-217.
    13. Graham Smith & Aneta Dyakova, 2016. "The Relative Predictability of Stock Markets in the Americas," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 131-142, April.
    14. Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
    15. Roy, Archi & Soni, Anchal & Deb, Soudeep, 2023. "A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets," Energy Economics, Elsevier, vol. 124(C).
    16. Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013. "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, vol. 45(8), pages 953-962, March.
    17. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.
    18. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.
    19. Pawan Jain & Wen-Jun Xue, 2017. "Global Investigation of Return Autocorrelation and its Determinants," Working Papers 1704, Florida International University, Department of Economics.
    20. Gu, Anthony Yanxiang, 2003. "The declining January effect: evidences from the U.S. equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 395-404.
    21. Kim, Jae & Doucouliagos, Hristos & Stanley, T. D., 2014. "Market efficiency in Asian and Australasian stock markets: a fresh look at the evidence," Working Papers eco_2014_9, Deakin University, Department of Economics.
    22. Fatima Syed & Naimat U. Khan, 2017. "Islamic Calendar Anomalies: Evidence from Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 104-122, September.
    23. Gholipour, Hassan F. & Arjomandi, Amir & Andargoli, Amirhossein Eslami & Bennett, Rohan, 2023. "On real estate market transparency: The relationship with ICT trade and investment," Land Use Policy, Elsevier, vol. 133(C).
    24. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  11. Anthony Y. Gu, 2002. "The Predictability of House Prices," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 213-234.

    Cited by:

    1. R. Kelley Pace & Raffaella Calabrese, 2022. "Ignoring Spatial and Spatiotemporal Dependence in the Disturbances Can Make Black Swans Appear Grey," The Journal of Real Estate Finance and Economics, Springer, vol. 65(1), pages 1-21, July.
    2. Song Shi & Martin Young & Bob Hargreaves, 2010. "House Price-Volume Dynamics: Evidence from 12 Cities in New Zealand," Journal of Real Estate Research, American Real Estate Society, vol. 32(1), pages 75-100.
    3. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    4. Nissan, Edward & Payne, James E., 2013. "A Simple Test of σ-Convergence in U.S. Housing Prices across BEA Regions," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 43(2).
    5. Chi-Young Choi & Alexander Chudik & Aaron Smallwood, 2024. "Time-varying Persistence of House Price Growth: The Role of Expectations and Credit Supply," Globalization Institute Working Papers 426, Federal Reserve Bank of Dallas.
    6. Esra ALP & Ünal SEVEN, 2019. "Türkiye Konut Piyasasında Etkinlik Analizi," Istanbul Business Research, Istanbul University Business School, vol. 48(1), pages 84-112, May.
    7. Jiyoung Chae & Anil K. Bera, 2024. "Spatial Market Inefficiency in Housing Market: A Spatial Quantile Regression Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 69(1), pages 70-99, July.
    8. Tsai, I-Chun & Peng, Chien-Wen, 2016. "Linear and nonlinear dynamic relationships between housing prices and trading volumes," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 172-184.
    9. Joe Tak-Yun Wong & Eddie Hui & William Seabrooke & John Raftery, 2005. "A study of the Hong Kong property market: housing price expectations," Construction Management and Economics, Taylor & Francis Journals, vol. 23(7), pages 757-765.
    10. Schindler, Felix, 2009. "Volatilitätseffekte am US-amerikanischen Häusermarkt," ZEW Discussion Papers 09-048, ZEW - Leibniz Centre for European Economic Research.
    11. Paul M Anglin & Yanmin Gao, 2011. "Integrating Illiquid Assets into the Portfolio Decision Process," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(2), pages 277-311, June.
    12. Felix Schindler, 2014. "Persistence and Predictability in UK House Price Movements," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 132-163, January.
    13. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
    14. McGurk, Zachary, 2020. "US real estate inflation prediction: Exchange rates and net foreign assets," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 53-66.
    15. Chien-Wen Peng & I-Chun Tsai & Wey-Wen Wu, 2011. "Price and Volume Relationship under Housing Presale System," ERES eres2011_106, European Real Estate Society (ERES).
    16. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Testing Calendar Effects of International Equity and Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 140-158, January.
    17. Andre H. Gao & George H. K. Wang, 2007. "Multiple Transactions Model: A Panel Data Approach to Estimate Housing Market Indices," Journal of Real Estate Research, American Real Estate Society, vol. 29(3), pages 241-266.
    18. Alexander N. Bogin & LaRhonda Ealey & Kirsten Landeryou & Scott Smith & Andrew Tsai, 2023. "Geographic Disaggregation of House Price Stress Paths: Implications for Single-Family Credit Risk Measurement," FHFA Staff Working Papers 23-02, Federal Housing Finance Agency.
    19. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
    20. Felix Schindler, 2013. "Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 44-90, January.

Chapters

  1. Anthony Yanxiang Gu & John T. Simon, 2007. "The September Phenomenon of US Equity Market," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting, chapter 14, pages 283-297, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.

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