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Original Articles

Asymmetric return patterns: evidence from 33 international stock market indices

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Pages 775-779 | Published online: 08 May 2009

References

  • Koutmos , G. 1998 . Asymmetries in the conditional mean and the conditional variance: evidence from nine stock markets . Journal of Economics and Business , 50 : 277 – 90 .
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  • Nam , K. , Pyun , C. and Avard , S. 2001 . Asymmetric reverting behaviour of short-horizon stock returns: an evidence of stock market overreaction . Journal of Banking and Finance , 25 : 807 – 24 .
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  • Sarantis , N. 2001 . Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence . International Journal of Forecasting , 17 : 459 – 82 .
  • Sentana , E. and Wadhwani , S. 1992 . Feedback traders and stock return autocorrelations: evidence from a century of daily data . Economic Journal , 102 : 415 – 25 .

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