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Short-term price reversals following major price innovations: Additional evidence on market overreaction

โœ Scribed by David N. Ketcher; Bradford D. Jordan


Book ID
116096235
Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
890 KB
Volume
46
Category
Article
ISSN
0148-6195

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This study examines the short-and long-term dependence in the United States and 21 international equity market indexes. Two heteroscedastic-robust testing methods, the modified rescaled range analysis and the rescaled variance ratio test, are employed to test for the existence of dependence. The evi