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The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation
16 references·1 citing·46 second hop
The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation (2002)The Stock Price-Volume Linkage on the Tor…The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)The dynamic relationship betw…Dynamic Volume-Return Relation of Individual Stocks (2002)Dynamic Volume-Return Relatio…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…Volume and Autocovariances in Short-Horizon Individual Security Returns (1994)Volume and Autocovariances in…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Stock Prices and Volume (1992)Stock Prices and VolumeStock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Lag-Length Selection and Tests of Granger Causality Between Money and Income (1984)Lag-Length Selection and Test…Comparing alternative tests of causality in temporal systems (1983)Comparing alternative tests o…A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Model of Asset Trading Under the Assumption of Sequential Information Arrival (1976)A Model of Asset Trading Unde…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market (2008)An Empirical Analysis of Stoc…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)MONEY, INCOME, AND CAUSALITY (1972)Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Oil and the Macroeconomy since World War II (1983)Measuring the Information Content of Stock Trades (1991)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Generalized autoregressive conditional heteroskedasticity (1986)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Trading Volume, Information Asymmetry, and Timing Information (2005)Does Public Financial News Resolve Asymmetric Information? (2010)All the News That's Fit to Reprint: Do Investors React to Stale Information? (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)
this work references cited by second hop

References

  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 2002Dynamic Volume-Return Relation of Individual Stocks689 cited
  • 1983Comparing alternative tests of causality in temporal systems631 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*608 cited
  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival556 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
  • 2002The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence372 cited

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  • 1994Volume and Autocovariances in Short-Horizon Individual Security Returns330 cited
  • 1984Lag-Length Selection and Tests of Granger Causality Between Money and Income324 cited
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    • 2008An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market25 cited