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Applied Economics Letters Volume 5, 1998 - Issue 11
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Original Articles

Interaction of volatility and autocorrelation in foreign stock returns

G. Geoffrey Booth
&
Gregory Koutmos
Pages 715-717 | Published online: 22 Oct 2010

Citations (9)

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Dimitrios Gounopoulos, Andreas G. Merikas, Anna A. Merika & Anna Triantafyllou. (2012) Explaining house price changes in Greece. Applied Financial Economics 22:7, pages 549-561.
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Frank Westermann. (2004) Does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and Italy . The European Journal of Finance 10:2, pages 139-148.
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Articles from other publishers (7)

Tianbao Zhou, Xinghao Li & Peng Wang. (2021) Statistics and Practice on the Trend’s Reversal and Turning Points of Chinese Stock Indices Based on Gann’s Time Theory and Solar Terms Effect. Mathematics 9:15, pages 1713.
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Michael D. McKenzie & Suk-Joong Kim. (2007) Evidence of an asymmetry in the relationship between volatility and autocorrelation. International Review of Financial Analysis 16:1, pages 22-40.
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Suk-Joong Kim & Michael D. McKenzie. 2007. Asia-Pacific Financial Markets: Integration, Innovation and Challenges. Asia-Pacific Financial Markets: Integration, Innovation and Challenges 63 94 .
Bartosz Gebka, Harald Henke & Martin T. Bohl. (2006) Institutional trading and stock return autocorrelation: Empirical evidence on Polish pension fund investors' behavior. Global Finance Journal 16:3, pages 233-244.
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Robert W. Faff, David Hillier & Michael D. McKenzie. (2011) An Investigation of Conditional Autocorrelation and Cross-Autocorrelation in Emerging Markets. Review of Pacific Basin Financial Markets and Policies 08:03, pages 467-499.
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Michael D. McKenzie & Robert W. Faff. (2005) Modeling conditional return autocorrelation. International Review of Financial Analysis 14:1, pages 23-42.
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Suk-Joong Kim & Michael D. McKenzie. (2008) Conditional Autocorrelation and Stock Market Integration in the Asia-Pacific. SSRN Electronic Journal.
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