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Stock Price and Volume Relation in Emerging Markets
7 references·6 citing·49 second hop
Stock Price and Volume Relation in Emerging Markets (2005)Stock Price and Volume Relation in Emergi…Some tests for parameter constancy in cointegrated VAR‐models (1999)Some tests for parameter cons…Local Return Factors and Turnover in Emerging Stock Markets (1999)Local Return Factors and Turn…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Information Dissemination and Portfolio Choice (1983)Information Dissemination and…Asymmetrical Information in Securities Markets and Trading Volume (1980)Asymmetrical Information in S…The Dependence of Prices and Volume (1978)The Dependence of Prices and …A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature (2019)Time-Varying Price–Volume Rel…Contemporaneous and Asymmetric Properties in the Price-Volume Relationships in China's Agricultural Futures Markets (2014)Contemporaneous and Asymmetri…DYNAMIC STOCK RETURN–VOLUME RELATION: EVIDENCE FROM EMERGING ASIAN MARKETS (2012)DYNAMIC STOCK RETURN–VOLUME R…The Empirical Investigation of Relationship between Return, Volume and Volatility Dynamics in Indian Stock Market (2009)The Empirical Investigation o…Parametric and nonparametric Granger causality testing: Linkages between international stock markets (2008)Parametric and nonparametric …Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia (2007)Causal and Dynamic Relationsh…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)Explaining the price-volume relationship: The difference between price changes and changing prices (1988)A GARCH examination of the relationship between volume and price variability in futures markets (1991)The stock price–volume relationship in emerging stock markets: the case of Latin America (1998)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)A Theory of Trading Volume (1986)Market reaction to anticipated announcements (1991)Evidence on the speed of convergence to market efficiency (2005)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Derivative markets in emerging economies: A survey (2015)Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform (2015)An Empirical Evaluation of Accounting Income Numbers (1968)Risk Aversion in the Small and in the Large (1976)Intradaily Price-Volume Adjustments of NYSE Stocks to Unexpected Earnings (1988)Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks (2009)Does sustainability index matter to the hospitality industry? (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)Stock returns and the weekend effect (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Trading volume and stock returns: A meta-analysis (2021)Stock returns, trading volume, and volatility: The case of African stock markets (2022)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)On the Impossibility of Informationally Efficient Markets (1980)The dynamic relationship of volatility, volume, and market depth in currency futures markets (1999)Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange (2000)Forecasting stock market volatility: The role of technical variables (2019)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Exploring the international linkages of the euro area: a global VAR analysis (2007)Modelling Nonlinear Economic Time Series (2010)CO2 emissions, output, energy consumption, and trade in Tunisia (2014)Generalized autoregressive conditional heteroskedasticity (1986)The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa (2017)Did China’s ICO ban alter the Bitcoin market? (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Liquidity of emerging markets (2005)Liquidity and Asset Prices (2006)Momentum crashes (2016)
this work references cited by second hop

References

  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1999Local Return Factors and Turnover in Emerging Stock Markets839 cited
  • 1999Some tests for parameter constancy in cointegrated VAR‐models617 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*608 cited
  • 1978The Dependence of Prices and Volume172 cited
  • 1980Asymmetrical Information in Securities Markets and Trading Volume169 cited
  • 1983Information Dissemination and Portfolio Choice89 cited

Cited by

  • 2007Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia57 cited
  • 2014Contemporaneous and Asymmetric Properties in the Price-Volume Relationships in China's Agricultural Futures Markets35 cited
  • 2009The Empirical Investigation of Relationship between Return, Volume and Volatility Dynamics in Indian Stock Market32 cited
  • 2012DYNAMIC STOCK RETURN–VOLUME RELATION: EVIDENCE FROM EMERGING ASIAN MARKETS32 cited
  • 2019Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature29 cited
  • 2008Parametric and nonparametric Granger causality testing: Linkages between international stock markets28 cited

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