SEARCH

SEARCH BY CITATION

Cited in:

CrossRef

This article has been cited by:

  1. 1
    Charles Chang, Emily Lin, Cash-futures basis and the impact of market maturity, informed trading, and expiration effects, International Review of Economics & Finance, 2015, 35, 197

    CrossRef

  2. 2
    H. N. Ozsoylev, J. Walden, M. D. Yavuz, R. Bildik, Investor Networks in the Stock Market, Review of Financial Studies, 2014, 27, 5, 1323

    CrossRef

  3. 3
    Charles Chang, Emily Lin, On the Determinants of Basis Spread for Taiwan Index Futures and the Role of Speculators, Review of Pacific Basin Financial Markets and Policies, 2014, 17, 01, 1450002

    CrossRef

  4. 4
    Robert M. Anderson, Kyong Shik Eom, Sang Buhm Hahn, Jong-Ho Park, Autocorrelation and partial price adjustment, Journal of Empirical Finance, 2013, 24, 78

    CrossRef

  5. 5
    A. Boulatov, T. Hendershott, D. Livdan, Informed Trading and Portfolio Returns, The Review of Economic Studies, 2013, 80, 1, 35

    CrossRef

  6. 6
    L. Huang, J. R. Kale, Product Market Linkages, Manager Quality, and Mutual Fund Performance, Review of Finance, 2013, 17, 6, 1895

    CrossRef

  7. 7
    P. Pasquariello, C. Vega, Strategic Cross-Trading in the U.S. Stock Market, Review of Finance, 2013,

    CrossRef

  8. 8
    Bartosz Gębka, Mark E. Wohar, The determinants of quantile autocorrelations: Evidence from the UK, International Review of Financial Analysis, 2013, 29, 51

    CrossRef

  9. 9
    Sukwon Thomas Kim, The Timing of Opening Trades and Pricing Errors, Financial Management, 2013, 42, 3
  10. 10
    Debasish Majumder, Towards an efficient stock market: Empirical evidence from the Indian market, Journal of Policy Modeling, 2013, 35, 4, 572

    CrossRef

  11. 11
    Daniel Djupsjöbacka, Implications of market microstructure for realized variance measurement, The European Journal of Finance, 2010, 16, 1, 27

    CrossRef

  12. 12
    Zhaodan Huang, Ou Hu, Bih-Shuang Liao, Short Sale, Stock Liquidity, and the Day-of-the-Week Effect: Evidence from the Taiwan Stock Market, Review of Pacific Basin Financial Markets and Policies, 2010, 13, 01, 71

    CrossRef

  13. 13
    Robert W. Faff, David Hillier, Michael D. McKenzie, An Investigation of Conditional Autocorrelation and Cross-Autocorrelation in Emerging Markets, Review of Pacific Basin Financial Markets and Policies, 2005, 08, 03, 467

    CrossRef

  14. 14
    MITCHELL RATNER, GULSER MERIC, ILHAN MERIC, THE CROSS-AUTOCORRELATION OF SIZE-BASED PORTFOLIO RETURNS IN EUROPE, Studies in Economics and Finance, 2004, 22, 1, 42

    CrossRef

  15. 15
    Wen-Hsiu Kuo, Hsinan Hsu, Chwan-Yi Chiang, Trading Volume and Cross-Autocorrelations of Stock Returns in Emerging Markets: Evidence from the Taiwan Stock Market, Review of Pacific Basin Financial Markets and Policies, 2004, 07, 04, 509

    CrossRef

  16. 16
    ROBERTO RENÒ, A CLOSER LOOK AT THE EPPS EFFECT, International Journal of Theoretical and Applied Finance, 2003, 06, 01, 87

    CrossRef

  17. 17
    GRANT MCQUEEN, MICHAEL PINEGAR, STEVEN THORLEY, Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns, The Journal of Finance, 1996, 51, 3
  18. 18
    David R. Peterson, THE NEGATIVE RELATION BETWEEN DAILY INDEX RETURN SERIAL CORRELATIONS AND CONDITIONAL VARIANCES: DOES IT HAVE MATHEMATICAL OR ECONOMIC ORIGINS?, Journal of Financial Research, 1996, 19, 3