Nothing Special   »   [go: up one dir, main page]

create a website
Contrarian and momentum returns on Irans Tehran Stock Exchange. (2008). Kharazi, Ali ; Foster, Kevin R..
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:18:y:2008:i:1:p:16-30.

Full description at Econpapers || Download paper

Cited: 6

Citations received by this document

Cites: 25

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach. (2020). Payandeh, Amir ; Ofoghi, Reza ; Qazvini, Marjan.
    In: Papers.
    RePEc:arx:papers:2001.11275.

    Full description at Econpapers || Download paper

  2. A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index. (2019). Volchenkov, Dimitri ; Shirvani, Abootaleb.
    In: Papers.
    RePEc:arx:papers:1911.01826.

    Full description at Econpapers || Download paper

  3. How do stocks react to extreme market events? Evidence from Brazil. (2017). Chaudhury, MO ; Souza, Alceu ; Piccoli, Pedro.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:42:y:2017:i:c:p:275-284.

    Full description at Econpapers || Download paper

  4. Are momentum and contrarian effects related? Evidence from the Chinese stock market. (2014). Hooy, Chee-Wooi ; Anusakumar, Shangkari V ; Ali, Ruhani .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-14-00644.

    Full description at Econpapers || Download paper

  5. Overreaction Effect in the Tunisian Stock Market. (2014). Fatma Wyeme Ben Mrad Douagi, ; Chaouachi, Olfa .
    In: Journal of Asian Business Strategy.
    RePEc:asi:joabsj:2014:p:134-140.

    Full description at Econpapers || Download paper

  6. Risk and return in the Tehran stock exchange. (2013). Mohammadi, Hassan ; Jahan-Parvar, Mohammad.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:3:p:238-256.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Antoniou, A. ; Ergul, N. ; Holmes, P. Market efficiency, thin trading, and non-linear behavior: evidence from an emerging market. 1997 European Financial Management. 3 175-190

  2. Chen, H. ; DeBondt, W. Style momentum within the S&P-500 index. 2004 Journal of Empirical Finance. 11 483-507

  3. Conrad, J.S. ; Hameed, A. ; Niden, C. Volume and autocovariances in short-horizon individual security returns. 1994 Journal of Finance. 99 1305-1329

  4. Cooper, M. Filter rules based on price and volume in individual security overreaction. 1999 The Review of Financial Studies. 12 901-935

  5. Daragahi, B., 2004. Rewards have risks on the Tehran Stock Exchange. New York Times Business, August 20.
    Paper not yet in RePEc: Add citation now
  6. DeBondt, W.F.M. ; Thaler, R. Does the stock market overreact?. 1985 Journal of Finance. 40 793-805

  7. DeBondt, W.F.M. ; Thaler, R. Further evidence on investor overreaction and stock market seasonality. 1987 Journal of Finance. 42 557-581

  8. Elyasiani, E. ; Perera, P. ; Puri, T. Market efficiency and calendar anomalies in emerging capital markets: evidence from the Colombo Stock Exchange. 1996 Journal of International Financial Markets, Institutions and Money. 6 59-77
    Paper not yet in RePEc: Add citation now
  9. Fong, W.M. ; Wong, W.K. ; Lean, H.H. International momentum strategies: a stochastic dominance approach. 2005 Journal of Financial Markets. 8 89-109

  10. Foster, K.R, Kharazi, A., 2004. Links between the Tehran Stock Exchange and oil prices. Working Paper, The City College of New York.
    Paper not yet in RePEc: Add citation now
  11. Gervais, S. ; Kaniel, R. ; Mingelgrin, D.H. The high-volume return premium. 2001 Journal of Finance. 61 877-919

  12. Hameed, A. ; Kusnadi, Y. Momentum strategies: evidence from Pacific basin stock markets. 2002 Journal of Financial Research. 25 383-397

  13. Hameed, A. ; Ting, S. Trading volume and short-horizon contrarian profits: evidence from the Malaysian market. 2000 Pacific-Basin Finance Journal. 8 67-84

  14. Jegadeesh, N. ; Titman, S. Profitability of momentum strategies: an evaluation of alternative explanations. 2001 Journal of Finance. 61 699-720

  15. Jegadeesh, N. ; Titman, S. Returns to buying winners and selling losers: implications for stock market efficiency. 1993 Journal of Finance. 48 65-91

  16. Lehmann, B.N. Fads, martingales, and market efficiency. 1990 Quarterly Journal of Economics. 105 1-28

  17. Lo, A.W. ; MacKinlay, A.C. When are contrarian profits due to stock market overreaction?. 1990 Review of Financial Studies. 3 175-205

  18. McMillan, D.G. Non-linear dynamics in international stock market returns. 2005 Review of Financial Economics. 14 81-91

  19. Nijman, T. ; Swinkels, L. ; Verbeek, M. Do countries or industries explain momentum in Europe?. 2004 Journal of Empirical Finance. 11 461-481

  20. Parisi, F. ; Acevedo, C. Volume and autocovariance in short-horizon stock returns: evidence from 1992 to 1998 in Chile. 2001 International Review of Financial Analysis. 10 275-285

  21. Rouwenhorst, K.G. Local return factors and turnover in emerging stock markets. 1999 Journal of Finance. 54 1439-1464

  22. Shen, C.H. ; Wang, L.R. Daily serial correlation, trading volume, and price limits: evidence from the Taiwan Stock Market. 1998 Pacific-Basin Finance Journal. 6 251-273

  23. Sims, C., 1990. Martingale-like behavior of prices and interest rates. Working Paper, Princeton University, from http://sims.princeton.edu/yftp/martpric/Newmart4.pdf.
    Paper not yet in RePEc: Add citation now
  24. Tehran Stock Exchange Economic Research Department, 2002a. Framework for evaluating the TSE-50 most active stocks in the Tehran Stock Exchange (Chaharchobi baraye sanjesh panjah sherkat faaltar boors oraghe bahador Tehran). TSE Publications, Tehran.
    Paper not yet in RePEc: Add citation now
  25. Tehran Stock Exchange Economic Research Department, 2002b. Statistical exchange archive CD-ROM, second edition (Arshive amari boors). TSE Publications, Tehran.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Testing for efficiency in the Saudi stock market: does corporate governance change matter?. (2021). Dockery, Everton ; Saleh, Mamdouh Abdulaziz.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00939-0.

    Full description at Econpapers || Download paper

  2. Embedding Four Medium-Term Technical Indicators to an Intelligent Stock Trading Fuzzy System for Predicting: A Portfolio Management Approach. (2021). Chatzoglou, Prodromos ; Chourmouziadou, Dimitra K ; Chourmouziadis, Konstandinos.
    In: Computational Economics.
    RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10016-2.

    Full description at Econpapers || Download paper

  3. Testing for efficiency in the Saudi stock market: does corporate governance change matter?. (2020). Dockery, Everton ; Saleh, Mamdouh Abdulaziz.
    In: EconStor Open Access Articles.
    RePEc:zbw:espost:225534.

    Full description at Econpapers || Download paper

  4. Time Varying Efficiency in Indian Sectors: An Event Study on Demonetization. (2020). Paul, Samit.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:18:y:2020:i:1:d:10.1007_s40953-019-00171-1.

    Full description at Econpapers || Download paper

  5. Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns. (2020). Maydybura, Alina ; Umutlu, Mehmet ; Zaremba, Adam.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:121:y:2020:i:c:s0378426620302284.

    Full description at Econpapers || Download paper

  6. Success Factors of Financial Derivatives Markets in Asia. (2018). Sukcharoensin, Pariyada ; Sittisawad, Trin.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:25:y:2018:i:2:d:10.1007_s10690-018-9239-4.

    Full description at Econpapers || Download paper

  7. Shipping risk management practice revisited: A new portfolio approach. (2018). VISVIKIS, ILIAS ; Alexandridis, George ; Song, Dong-Wook ; Sahoo, Satya.
    In: Transportation Research Part A: Policy and Practice.
    RePEc:eee:transa:v:110:y:2018:i:c:p:274-290.

    Full description at Econpapers || Download paper

  8. Chinese Lunar New Year effect, investor sentiment, and market deregulation. (2018). Teng, Chia-Chen ; Yang, Jimmy J.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:27:y:2018:i:c:p:175-184.

    Full description at Econpapers || Download paper

  9. Time-varying conditional discrete jumps in emerging African equity markets. (2017). Kuttu, Saint.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:32:y:2017:i:c:p:35-54.

    Full description at Econpapers || Download paper

  10. Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets. (2016). Rajeshkumar, B.
    In: Proceedings of Economics and Finance Conferences.
    RePEc:sek:iefpro:3205752.

    Full description at Econpapers || Download paper

  11. The Efficient Market Hypothesis: Evidence from Turkey. (2016). BuÄŸan, Mehmet ; Kilic, Yunus .
    In: International Journal of Academic Research in Business and Social Sciences.
    RePEc:hur:ijarbs:v:6:y:2016:i:10:p:262-272.

    Full description at Econpapers || Download paper

  12. The effects of non-trading on the illiquidity ratio. (2015). Steeley, James ; Lambertides, Neophytos ; Chelley-Steeley, Patricia L.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:204-228.

    Full description at Econpapers || Download paper

  13. Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis. (2014). Kuttu, Saint.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:25:y:2014:i:1:p:56-69.

    Full description at Econpapers || Download paper

  14. African Stock Markets: Efficiency and Relative Predictability. (2014). Dyakova, Aneta ; Smith, Graham.
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:82:y:2014:i:2:p:258-275.

    Full description at Econpapers || Download paper

  15. Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests. (2013). Lim, Kian-Ping ; Kim, Jae ; Luo, Weiwei .
    In: Applied Economics.
    RePEc:taf:applec:45:y:2013:i:8:p:953-962.

    Full description at Econpapers || Download paper

  16. The evolution of stock market predictability in Bulgaria. (2013). Dyakova, Aneta ; Smith, Graham.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:9:p:805-816.

    Full description at Econpapers || Download paper

  17. Bulgarian stock market relative predictability: BSE-Sofia stocks and South East European markets. (2013). Dyakova, Aneta ; Smith, Graham.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:15:p:1257-1271.

    Full description at Econpapers || Download paper

  18. Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data. (2013). Hou, Yang ; Li, Steven.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:20:y:2013:i:1:p:49-70.

    Full description at Econpapers || Download paper

  19. Terremoto y sus efectos sobre el bienestar: un análisis multidimensional. (2012). Sanhueza, Claudia ; Contreras, Dante ; Maquieira, Carlos ; Gorigoitia, Juan .
    In: Working Papers.
    RePEc:ptl:wpaper:35.

    Full description at Econpapers || Download paper

  20. Testing the Weak Form Efficiency of Pakistani Stock Market (2000–2010). (2011). Haque, Abdul ; Liu, Hung-Chun ; Fakhar-Un-Nisa, .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2011-04-2.

    Full description at Econpapers || Download paper

  21. Stock-market efficiency in thin-trading markets: the case of the Vietnamese stock market. (2010). lensink, robert ; Lanjouw, Ger ; Loc, Truong Dong .
    In: Applied Economics.
    RePEc:taf:applec:v:42:y:2010:i:27:p:3519-3532.

    Full description at Econpapers || Download paper

  22. Financial Transparency and Sources of Hidden Capital in Turkish Banks. (2010). Tanyeri, Baak.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:37:y:2010:i:1:p:25-43.

    Full description at Econpapers || Download paper

  23. Testing the evolving efficiency of Arab stock markets. (2010). Abdmoulah, Walid .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:1:p:25-34.

    Full description at Econpapers || Download paper

  24. Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests. (2009). Lim, Kian-Ping ; Brooks, Robert.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:2:p:147-155.

    Full description at Econpapers || Download paper

  25. On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process: a further note. (2009). Lim, Kian-Ping ; Brooks, Robert.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:16:y:2009:i:6:p:649-652.

    Full description at Econpapers || Download paper

  26. The Weak-form Efficiency of Chinese Stock Markets. (2009). Lim, Kian-Ping ; Habibullah, Muzafar Shah.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:8:y:2009:i:2:p:133-163.

    Full description at Econpapers || Download paper

  27. Regional Financial Integration in the Caribbean; Evidence From Financial and Macroeconomic Data. (2009). Espinoza, Raphael A ; Kwon, Goohoon.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/139.

    Full description at Econpapers || Download paper

  28. The relationship between volatility and volume on the Istanbul stock exchange. (2009). Tuzunturk, Selim .
    In: International Journal of Sustainable Economy.
    RePEc:ids:ijsuse:v:1:y:2009:i:3:p:289-304.

    Full description at Econpapers || Download paper

  29. Do Investors Herd During Extreme Periods in Thin Markets? Evidence from Banja Luka. (2009). Radovic-Markovic, Mirjana ; Kallinterakis, Vasileios ; Munir, Nomana .
    In: Book Chapters.
    RePEc:ibg:chaptr:finsys-11.

    Full description at Econpapers || Download paper

  30. Nonlinear Return Dependence in Major Real Estate Markets. (2008). Liow, Kim ; Webb, James R..
    In: Journal of Property Research.
    RePEc:taf:jpropr:v:25:y:2008:i:4:p:285-319.

    Full description at Econpapers || Download paper

  31. Nonlinear behaviour of emerging market bonds spreads: the Latin American case. (2008). Maquieira, Carlos ; Bonilla, Claudio ; Romero-Meza, Rafael.
    In: Applied Economics.
    RePEc:taf:applec:v:40:y:2008:i:20:p:2697-2702.

    Full description at Econpapers || Download paper

  32. Contrarian and momentum returns on Irans Tehran Stock Exchange. (2008). Kharazi, Ali ; Foster, Kevin R..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:18:y:2008:i:1:p:16-30.

    Full description at Econpapers || Download paper

  33. Financial crisis and stock market efficiency: Empirical evidence from Asian countries. (2008). Lim, Kian-Ping ; Kim, Jae ; Brooks, Robert.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:3:p:571-591.

    Full description at Econpapers || Download paper

  34. The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market. (2008). VISVIKIS, ILIAS ; Kavussanos, Manolis ; Alexakis, Panayotis D..
    In: European Financial Management.
    RePEc:bla:eufman:v:14:y:2008:i:5:p:1007-1025.

    Full description at Econpapers || Download paper

  35. Nonlinear event detection in the Chilean stock market. (2007). Hinich, Melvin ; Bonilla, Claudio ; Romero-Meza, Rafael.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:14:y:2007:i:13:p:987-991.

    Full description at Econpapers || Download paper

  36. Testing for Market Efficiency in Emerging Markets: A Case Study of the Karachi Stock Market. (2007). Mustafa, Khalid ; Nishat, Mohammed.
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:12:y:2007:i:1:p:119-140.

    Full description at Econpapers || Download paper

  37. A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets. (2007). Kim, Jae ; Pyun, Chong Soo ; Hoque, Hafiz A. A. B., .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:16:y:2007:i:4:p:488-502.

    Full description at Econpapers || Download paper

  38. Asymmetry and long-memory volatility: Some empirical evidence using GARCH. (2007). cheong, chin ; Hassan Shaari Mohd Nor, Abu, ; Isa, Zaidi .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:373:y:2007:i:c:p:651-664.

    Full description at Econpapers || Download paper

  39. Emerging Market Efficiencies: New Zealands Maturation Experience in the Presence of Non-Linearity, Thin Trading and Asymmetric Information. (2007). Yu, Jung-Suk ; Hassan, M. Kabir ; RAYHORN, CHARLES ; JANSON, KENNETH R..
    In: International Review of Finance.
    RePEc:bla:irvfin:v:7:y:2007:i:1-2:p:21-34.

    Full description at Econpapers || Download paper

  40. Episodic nonlinearity in Latin American stock market indices. (2006). Bonilla, Claudio ; Romero-Meza, Rafael ; Hinich, Melvin J..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:13:y:2006:i:3:p:195-199.

    Full description at Econpapers || Download paper

  41. Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997. (2005). Los, Cornelis ; Karuppiah, Jeyanthi.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:2:p:211-246.

    Full description at Econpapers || Download paper

  42. Non-linear Market Behavior: Events Detection in the Malaysian Stock Market. (2005). Hinich, Melvin ; Lim, Kian-Ping.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:7:y:2005:i:6:p:1-5.

    Full description at Econpapers || Download paper

  43. Cross-temporal universality of non-linear dependencies in Asian stock markets. (2005). Hinich, Melvin ; Lim, Kian-Ping.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:7:y:2005:i:1:p:1-6.

    Full description at Econpapers || Download paper

  44. Cross-temporal universality of non-linear dependencies in Asian stock markets. (2005). Lim, Kian-Ping ; Hinich, Melvin J..
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-04g10005.

    Full description at Econpapers || Download paper

  45. Return predictability in African stock markets. (2003). Menyah, Kojo ; Appiahkusi, Joe.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:12:y:2003:i:3:p:247-270.

    Full description at Econpapers || Download paper

  46. Testing Random Walk Behavior and Market Efficiency: Evidence from New Emerging Equity Markets in the Middle East. (2003). ABUZAROUR, Basher .
    In: Middle East and North Africa.
    RePEc:ekd:003304:330400002.

    Full description at Econpapers || Download paper

  47. Return predictability in African stock markets. (2003). Appiah-Kusi, Joe ; Menyah, Kojo .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:12:y:2003:i:3:p:247-270.

    Full description at Econpapers || Download paper

  48. Scaling Up Infrastructure Spending in the Philippines: A CGE Top-Down Bottom-Up Microsimulation Approach. (2002). Savard, Luc ; Saraidaris, Anastasios ; Karagianni, Stella ; Kyrtsou, Catherine.
    In: EcoMod2010.
    RePEc:ekd:002596:259600149.

    Full description at Econpapers || Download paper

  49. Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997. (2000). Los, Cornelis ; Karuppiah, Jeyanthi.
    In: School of Economics Working Papers.
    RePEc:adl:wpaper:2000-06.

    Full description at Econpapers || Download paper

  50. Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets. (1999). Los, Cornelis.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:9:y:1999:i:3-4:p:265-289.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-18 13:07:27 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.