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Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

Citations

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Cited by:

  1. Baoqiang Zhan & Shu Zhang & Helen S. Du & Xiaoguang Yang, 2022. "Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 861-882, October.
  2. Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012. "Time series momentum," Journal of Financial Economics, Elsevier, vol. 104(2), pages 228-250.
  3. Nafis Alam & Shaista Arshad & Syed Aun R. Rizvi, 2016. "Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency," Review of Financial Economics, John Wiley & Sons, vol. 31(1), pages 108-114, November.
  4. Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho, 2005. "Stock Return Autocorrelation is Not Spurious," Department of Economics, Working Paper Series qt9s35b82c, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  5. Joseph K. W. Fung & Henry M. K. Mok & Kenneth C. K. Wong, 2004. "Pricing Efficiency in a Thin Market with Competitive Market Makers: Box Spread Strategies in the Hang Seng Index Options Market," The Financial Review, Eastern Finance Association, vol. 39(3), pages 435-454, August.
  6. Petra Fleischer & Ross Maller & Gernot Müller, 2011. "A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(2), pages 123-148, April.
  7. Kim, Min-Su & Kim, Woojin & Lee, Dong Wook, 2015. "Stock return commonality within business groups: Fundamentals or sentiment?," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 198-224.
  8. Earl A. Thompson & Jonathan Treussard & Charles R. Hickson, 2004. "Predicting Bubbles and Bubbles-Substitutes," UCLA Economics Working Papers 836, UCLA Department of Economics.
  9. Andrey Kudryavtsev, 2014. "When Do Opening Stock Returns Tend to be Higher?," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 445-458, September.
  10. Hueng, C. James & Yau, Ruey, 2013. "Country-specific idiosyncratic risk and global equity index returns," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 326-337.
  11. Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 43-76, January.
  12. Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.
  13. N. R. Bhanumurthy & Pami Dua & Lokendra Kumawat, 2012. "Weather Shocks, Spot and Futures Agricultural Commodity Prices- An Analysis for India," Working papers 219, Centre for Development Economics, Delhi School of Economics.
  14. Bertrand Candelon & Marc Joëts & Sessi Tokpavi, 2012. "Testing for crude oil markets globalization during extreme price movements," EconomiX Working Papers 2012-28, University of Paris Nanterre, EconomiX.
  15. Andrey KUDRYAVTSEV, 2013. "Mechanism Of Autocorrelations Of Individual Stocks' Opening Returns," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 12, pages 37-56, June.
  16. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, December.
  17. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
  18. Victor DeMiguel & Francisco J. Nogales & Raman Uppal, 2014. "Stock Return Serial Dependence and Out-of-Sample Portfolio Performance," The Review of Financial Studies, Society for Financial Studies, vol. 27(4), pages 1031-1073.
  19. 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.
  20. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
  21. Baltussen, Guido & van Bekkum, Sjoerd & Da, Zhi, 2019. "Indexing and stock market serial dependence around the world," Journal of Financial Economics, Elsevier, vol. 132(1), pages 26-48.
  22. Edelen, Roger M. & Kadlec, Gregory B., 2012. "Delegated trading and the speed of adjustment in security prices," Journal of Financial Economics, Elsevier, vol. 103(2), pages 294-307.
  23. Maderitsch, R., 2015. "Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 13-36.
  24. Marc Joëts, 2012. "Energy price transmissions during extreme movements," Working Papers hal-04141047, HAL.
  25. Connolly, Robert & Dubofsky, David & Stivers, Chris, 2018. "Macroeconomic uncertainty and the distant forward-rate slope," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 140-161.
  26. repec:ipg:wpaper:2013-028 is not listed on IDEAS
  27. Bohl, Martin T. & Pütz, Alexander & Sulewski, Christoph, 2021. "Speculation and the informational efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 23(C).
  28. Bansal, Naresh & Stivers, Chris, 2022. "Bond risk’s role in the equity risk-return tradeoff," Journal of Financial Markets, Elsevier, vol. 60(C).
  29. Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho, 2013. "Autocorrelation and partial price adjustment," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 78-93.
  30. Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, vol. 31(C), pages 276-285.
  31. Kian-Ping Lim & Muzafar Shah Habibullah & Melvin J. Hinich, 2009. "The Weak-form Efficiency of Chinese Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 133-163, May.
  32. Hsu, Chih-Hsiang & Lee, Hsiu-Chuan & Lien, Donald, 2020. "Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 600-621.
  33. Robert Durand & Marta Simon, 2008. "Beyond greed, fear and the iron curtain," Applied Financial Economics, Taylor & Francis Journals, vol. 18(4), pages 275-293.
  34. Chin Man Chui & Jian Yang, 2012. "Extreme Correlation of Stock and Bond Futures Markets: International Evidence," The Financial Review, Eastern Finance Association, vol. 47(3), pages 565-587, August.
  35. Marwa Ben Abdallah & Maria Fekete Farkas & Zoltan Lakner, 2020. "Analysis of Dairy Product Price Transmission in Hungary: A Nonlinear ARDL Model," Agriculture, MDPI, vol. 10(6), pages 1-14, June.
  36. KUDRYAVTSEV Andrey, 2012. "Early To Rise: When Opening Stock Returns Are Higher Than Daily Returns?," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(3), pages 58-73, December.
  37. Earl A. Thompson & Charles R. Hickson, 2006. "Predicting bubbles," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 8(3/4), pages 217-246.
  38. Thomas Conlon & John Cotter & Ramazan Gençay, 2015. "Long-run international diversification," Working Papers 201502, Geary Institute, University College Dublin.
  39. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  40. Andrey Kudryavtsev, 2013. "Think About Tomorrow Morning: Opening Stock Returns May Show Reversals," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 16(50), pages 51-64, December.
  41. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF, Faculty of Economics, University of Coimbra.
  42. Yang, Jian & Cabrera, Juan & Wang, Tao, 2010. "Nonlinearity, data-snooping, and stock index ETF return predictability," European Journal of Operational Research, Elsevier, vol. 200(2), pages 498-507, January.
  43. Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
  44. Amini, Shima & Gebka, Bartosz & Hudson, Robert & Keasey, Kevin, 2013. "A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 1-17.
  45. DePenya, Francisco J. & Gil-Alana, Luis A., 2007. "Serial correlation in the Spanish Stock Market," Global Finance Journal, Elsevier, vol. 18(1), pages 84-103.
  46. Lawrenz, Jochen & Zorn, Josef, 2017. "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 159-184.
  47. N. K. Kishor & H. A. Marfatia, 2013. "Does federal funds futures rate contain information about the treasury bill rate?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(16), pages 1311-1324, August.
  48. repec:ipg:wpaper:28 is not listed on IDEAS
  49. Jurdi, Doureige J., 2022. "Predicting the Australian equity risk premium," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
  50. Armitage, Seth & Chakravarty, Shanti P. & Hodgkinson, Lynn & Wells, Jo, 2012. "Are there arbitrage gaps in the UK gilt strips market?," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3080-3090.
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