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Predicting stock index volatility : can market volume help?

Brooks, Chris - In: Journal of forecasting 17 (1998) 1, pp. 59-80

Persistent link: https://www.econbiz.de/10001245342

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

Brooks, Chris; Garrett, Ian; Hinich, Melvin J. - In: Applied financial economics 9 (1999) 6, pp. 605-613

Persistent link: https://www.econbiz.de/10001525291

Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

Brooks, Chris; Garrett, Ian - In: Applied financial economics 12 (2002) 1, pp. 25-31

Persistent link: https://www.econbiz.de/10001646093

A three-regime model of speculative behaviour : modelling the evolution of the S&P 500 composite index

Brooks, Chris; Katsaris, Apostolos - In: The economic journal : the journal of the Royal … 115 (2005) 505, pp. 767-797

Persistent link: https://www.econbiz.de/10003007798

An alternative approach in investigating lead-lag relationships between stock and stock index futures markets : comment

Hasan, Mohammad S. - In: Applied financial economics letters 1 (2005) 2, pp. 125-130

Persistent link: https://www.econbiz.de/10002807139

The S&P500 index effect reconsidered : evidence from overnight and intraday stock price performance and volume

Kappou, Konstantina; Brooks, Chris; Ward, Charles W. R. - In: Journal of banking & finance 34 (2010) 1, pp. 116-126

Persistent link: https://www.econbiz.de/10003905743

The performance effects of composition changes on sector specific stock indices : the case of European listed real estate

Brooks, Chris; Kappou, Konstantina; Stevenson, Simon; … - In: International review of financial analysis 29 (2013), pp. 132-142

Persistent link: https://www.econbiz.de/10010244117

Trading rules from forecasting the collapse of speculative bubbles for the S&P 500 composite index

Brooks, Chris; Katsaris, Apostoles - In: The journal of business : B 78 (2005) 5, pp. 2003-2036

Persistent link: https://www.econbiz.de/10003232689

Fundamental indexation revisited : new evidence on alpha

Balatti, Mirco; Brooks, Chris; Kappou, Konstantina - In: International review of financial analysis 51 (2017), pp. 1-15

Persistent link: https://www.econbiz.de/10011868655

Is There a Gold Social Seal? The Financial Effects of Additions To and Deletions from Social Stock Indices

Kappou, Konstantina - 2014

This study investigates the financial effects of additions to and deletions from two of the most well-known social stock indices: the Calvert social index and the MSCI KLD 400 index. By examining not only short-term abnormal returns but also trading activity, earnings per share and long-term...

Persistent link: https://www.econbiz.de/10013065222