FILTER RULE TESTS OF THE ECONOMIC SIGNIFICANCE OF SERIAL DEPENDENCIES IN DAILY STOCK RETURNS-Reference-Cited by-同舟云学术

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FILTER RULE TESTS OF THE ECONOMIC SIGNIFICANCE OF SERIAL DEPENDENCIES IN DAILY STOCK RETURNS

Published:1992-12 Issue:4 Volume:15 Page:369-387
ISSN:0270-2592
Container-title:Journal of Financial Research
language:en
Short-container-title:Journal of Financial Research

Author:

Corrado Charles J.¹,Lee Suk-Hun²

Affiliation:

1. University of Missouri; Columbia

2. Loyola University; Chicago

Publisher

Wiley

Subject

Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1475-6803.1992.tb00119.x/fullpdf

Reference9 articles.

1. Price movements in speculative markets: Trends or random walks;Alexander;Industrial Management Review,1961

2. Price movements in speculative markets: Trends or random walks, No. 2;Alexander;Industrial Management Review,1964

3. Nonsynchronous security trading and market index autocorrelation;Atchison;Journal of Finance,1987

4. The total cost of transactions on the NYSE;Berkowitz;Journal of Finance,1988

5. Filter rules and stock-market trading;Fama;Journal of Business,1966

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